Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2020 | Oct. 30, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | ARLINGTON ASSET INVESTMENT CORP. | |
Entity Central Index Key | 0001209028 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Emerging Growth Company | false | |
Entity Small Business | true | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Shell Company | false | |
Entity File Number | 001-34374 | |
Entity Incorporation, State or Country Code | VA | |
Entity Tax Identification Number | 54-1873198 | |
Entity Common Stock, Shares Outstanding | 33,427,687 | |
Entity Address, Address Line One | 6862 Elm Street | |
Entity Address, Address Line Two | Suite 320 | |
Entity Address, City or Town | McLean | |
Entity Address, State or Province | VA | |
Entity Address, Postal Zip Code | 22101 | |
City Area Code | 703 | |
Local Phone Number | 373-0200 | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Class A Common | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Class A Common Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC | |
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC PrB | |
8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Security Exchange Name | NYSE | |
Trading Symbol | AAIC PrC | |
6.625% Senior Notes due 2023 | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 6.625% Senior Notes due 2023 | |
Security Exchange Name | NYSE | |
Trading Symbol | AIW | |
6.75% Senior Notes due 2025 | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 6.75% Senior Notes due 2025 | |
Security Exchange Name | NYSE | |
Trading Symbol | AIC |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
ASSETS | |||
Cash and cash equivalents | $ 8,877 | $ 19,636 | |
Interest receivable | 1,589 | 10,663 | |
Sold securities receivable | 43,703 | 71,199 | |
Loans, at fair value | 70,000 | 45,000 | |
Derivative assets, at fair value | 1,181 | 1,417 | |
Deposits | 2,252 | 37,123 | |
Other assets | 21,208 | 13,079 | |
Total assets | 945,335 | 4,000,114 | |
Liabilities: | |||
Repurchase agreements | 508,739 | 3,581,237 | |
Interest payable | 569 | 4,666 | |
Accrued compensation and benefits | 2,044 | 3,626 | |
Dividend payable | 8,494 | ||
Derivative liabilities, at fair value | 852 | 8 | |
Other liabilities | 820 | 507 | |
Long-term unsecured debt | 73,115 | 74,328 | |
Total liabilities | 708,449 | 3,672,866 | |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Additional paid-in capital | 2,041,986 | 2,049,292 | |
Accumulated deficit | (1,841,010) | (1,759,626) | |
Total stockholders’ equity | 236,886 | 327,248 | |
Total liabilities and stockholders’ equity | 945,335 | 4,000,114 | |
Variable Interest Entity, Primary Beneficiary | |||
ASSETS | |||
Restricted cash of consolidated VIE | [1] | 8,658 | |
Loans, at fair value | 124,345 | ||
Liabilities: | |||
Debt of consolidated VIE, at fair value | 121,894 | ||
Other liabilities | 416 | ||
Agency MBS | |||
ASSETS | |||
Mortgage-backed credit securities, at fair value | 617,170 | 3,768,496 | |
Liabilities: | |||
Repurchase agreements | 477,239 | 3,560,139 | |
Mortgage Credit Securities | |||
ASSETS | |||
Mortgage-backed credit securities, at fair value | 46,352 | 33,501 | |
Liabilities: | |||
Repurchase agreements | 21,098 | ||
Series B Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | 7,943 | 8,270 | |
Series C Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock | 27,630 | 28,944 | |
Common Class A | |||
Stockholders’ Equity: | |||
Common stock | $ 337 | $ 368 | |
[1] | Restricted cash represents cash collected by the trust that can be used solely to satisfy the liabilities of the VIE in the month following collection. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, issued (in shares) | 336,273 | 354,039 |
Preferred stock, outstanding (in shares) | 336,273 | 354,039 |
Preferred stock, liquidation preference | $ 8,407 | $ 8,851 |
Series C Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, issued (in shares) | 1,131,648 | 1,200,000 |
Preferred stock, outstanding (in shares) | 1,131,648 | 1,200,000 |
Preferred stock, liquidation preference | $ 28,291 | $ 30,000 |
Common Class A | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 33,731,170 | 36,755,387 |
Common stock, shares outstanding (in shares) | 33,731,170 | 36,755,387 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest income | ||||
Loans | $ 1,122 | $ 2,658 | ||
Interest and other income | 385 | $ 215 | 1,062 | $ 904 |
Total interest income | 5,410 | 28,674 | 36,517 | 95,223 |
Interest expense | ||||
Total interest expense | 1,632 | 23,982 | 19,833 | 76,032 |
Net interest income | 3,778 | 4,692 | 16,684 | 19,191 |
Investment advisory fee income | 250 | |||
Investment gain (loss), net | ||||
Gain on mortgage investments, net | 2,696 | 16,890 | 13,415 | 128,297 |
Gain (loss) from derivative instruments, net | 487 | (25,353) | (102,510) | (149,630) |
Other, net | 769 | 232 | 2,776 | 222 |
Total investment gain (loss), net | 3,952 | (8,231) | (86,319) | (21,111) |
General and administrative expenses | ||||
Compensation and benefits | 1,774 | 2,833 | 5,529 | 8,182 |
Other general and administrative expenses | 1,197 | 1,365 | 4,013 | 3,816 |
Total general and administrative expenses | 2,971 | 4,198 | 9,542 | 11,998 |
Net income (loss) | 4,759 | (7,737) | (79,177) | (13,668) |
Dividend on preferred stock | (726) | (774) | (2,258) | (1,826) |
Net income (loss) available (attributable) to common stock | $ 4,033 | $ (8,511) | $ (81,435) | $ (15,494) |
Basic earnings (loss) per common share | $ 0.12 | $ (0.23) | $ (2.26) | $ (0.44) |
Diluted earnings (loss) per common share | $ 0.12 | $ (0.23) | $ (2.26) | $ (0.44) |
Weighted-average common shares outstanding (in thousands) | ||||
Basic | 34,655 | 36,572 | 35,990 | 35,399 |
Diluted | 34,697 | 36,572 | 35,990 | 35,399 |
Secured Debt | ||||
Interest expense | ||||
Short-term debt | $ 470 | $ 22,721 | $ 16,216 | $ 72,230 |
Unsecured Debt | ||||
Interest expense | ||||
Long-term debt | 1,162 | 1,261 | 3,617 | 3,802 |
Agency MBS | ||||
Interest income | ||||
Mortgage-backed credit securities | 2,808 | 28,455 | 29,713 | 94,300 |
Mortgage Credit Securities | ||||
Interest income | ||||
Mortgage-backed credit securities | 1,095 | 4 | 3,084 | 19 |
Investment gain (loss), net | ||||
Gain on mortgage investments, net | $ 413 | $ (1) | $ (16,369) | $ 1 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Common Class A | Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common StockCommon Class A | Additional Paid-in Capital | Accumulated Deficit |
Balances at Dec. 31, 2018 | $ 274,444 | $ 8,245 | $ 305 | $ 1,997,876 | $ (1,731,982) | |||
Balances (in shares) at Dec. 31, 2018 | 350,595 | 30,497,998 | ||||||
Net income (loss) | 17,594 | 17,594 | ||||||
Issuance of stock | $ 48,810 | $ 28,925 | $ 45 | $ 28,880 | $ 60 | 48,750 | ||
Issuance of stock (in shares) | 2,035 | 1,200,000 | 6,000,000 | |||||
Issuance of Class A common stock under stock-based compensation plans | $ 1 | (1) | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 74,619 | |||||||
Stock-based compensation | 773 | 773 | ||||||
Dividends declared | (14,135) | (14,135) | ||||||
Balances at Mar. 31, 2019 | 356,411 | $ 8,290 | $ 28,880 | $ 366 | 2,047,398 | (1,728,523) | ||
Balances (in shares) at Mar. 31, 2019 | 352,630 | 1,200,000 | 36,572,617 | |||||
Balances at Dec. 31, 2018 | 274,444 | $ 8,245 | $ 305 | 1,997,876 | (1,731,982) | |||
Balances (in shares) at Dec. 31, 2018 | 350,595 | 30,497,998 | ||||||
Net income (loss) | (13,668) | |||||||
Balances at Sep. 30, 2019 | 308,177 | $ 8,283 | $ 28,944 | $ 368 | 2,048,423 | (1,777,841) | ||
Balances (in shares) at Sep. 30, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Balances at Dec. 31, 2018 | 274,444 | $ 8,245 | $ 305 | 1,997,876 | (1,731,982) | |||
Balances (in shares) at Dec. 31, 2018 | 350,595 | 30,497,998 | ||||||
Repurchase of stock (in shares) | 0 | |||||||
Balances at Dec. 31, 2019 | 327,248 | $ 8,270 | $ 28,944 | $ 368 | 2,049,292 | (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Balances at Mar. 31, 2019 | 356,411 | $ 8,290 | $ 28,880 | $ 366 | 2,047,398 | (1,728,523) | ||
Balances (in shares) at Mar. 31, 2019 | 352,630 | 1,200,000 | 36,572,617 | |||||
Net income (loss) | (23,525) | (23,525) | ||||||
Issuance of stock | $ 1 | 70 | $ 6 | $ 64 | 1 | |||
Issuance of stock (in shares) | 1,409 | |||||||
Stock-based compensation | 217 | 217 | ||||||
Dividends declared | (8,885) | (8,885) | ||||||
Balances at Jun. 30, 2019 | 324,289 | $ 8,296 | $ 28,944 | $ 366 | 2,047,616 | (1,760,933) | ||
Balances (in shares) at Jun. 30, 2019 | 354,039 | 1,200,000 | 36,572,617 | |||||
Net income (loss) | (7,737) | (7,737) | ||||||
Issuance of stock | (9) | (13) | $ (13) | (9) | ||||
Issuance of Class A common stock under stock-based compensation plans | 109 | $ 2 | 107 | |||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 219,395 | |||||||
Repurchase of Class A common stock under stock-based compensation plans | (204) | (204) | ||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (36,625) | |||||||
Stock-based compensation | 913 | 913 | ||||||
Dividends declared | (9,171) | (9,171) | ||||||
Balances at Sep. 30, 2019 | 308,177 | $ 8,283 | $ 28,944 | $ 368 | 2,048,423 | (1,777,841) | ||
Balances (in shares) at Sep. 30, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Balances at Dec. 31, 2019 | 327,248 | $ 8,270 | $ 28,944 | $ 368 | 2,049,292 | (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Net income (loss) | (94,170) | (94,170) | ||||||
Issuance of Class A common stock under stock-based compensation plans | 62 | 62 | ||||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 60,374 | |||||||
Stock-based compensation | 393 | 393 | ||||||
Other | (22) | $ (6) | $ (10) | (6) | ||||
Dividends declared | (702) | (702) | ||||||
Balances at Mar. 31, 2020 | 232,809 | $ 8,264 | $ 28,934 | $ 368 | 2,049,741 | (1,854,498) | ||
Balances (in shares) at Mar. 31, 2020 | 354,039 | 1,200,000 | 36,815,761 | |||||
Balances at Dec. 31, 2019 | 327,248 | $ 8,270 | $ 28,944 | $ 368 | 2,049,292 | (1,759,626) | ||
Balances (in shares) at Dec. 31, 2019 | 354,039 | 1,200,000 | 36,755,387 | |||||
Net income (loss) | (79,177) | |||||||
Repurchase of stock | $ (8,911) | $ (299) | $ (1,304) | |||||
Repurchase of stock (in shares) | (3,148,414) | (17,766) | (68,352) | |||||
Balances at Sep. 30, 2020 | 236,886 | $ 7,943 | $ 27,630 | $ 337 | 2,041,986 | (1,841,010) | ||
Balances (in shares) at Sep. 30, 2020 | 336,273 | 1,131,648 | 33,731,170 | |||||
Balances at Mar. 31, 2020 | 232,809 | $ 8,264 | $ 28,934 | $ 368 | 2,049,741 | (1,854,498) | ||
Balances (in shares) at Mar. 31, 2020 | 354,039 | 1,200,000 | 36,815,761 | |||||
Net income (loss) | 10,234 | 10,234 | ||||||
Repurchase of stock | $ (3,047) | (800) | $ (173) | $ (627) | $ (11) | (3,036) | ||
Repurchase of stock (in shares) | (10,200) | (33,100) | (1,069,340) | |||||
Stock-based compensation | 594 | 594 | ||||||
Other | (26) | $ (13) | (13) | |||||
Dividends declared | (779) | (779) | ||||||
Balances at Jun. 30, 2020 | 238,985 | $ 8,078 | $ 28,307 | $ 357 | 2,047,286 | (1,845,043) | ||
Balances (in shares) at Jun. 30, 2020 | 343,839 | 1,166,900 | 35,746,421 | |||||
Net income (loss) | 4,759 | 4,759 | ||||||
Repurchase of stock | $ (5,864) | $ (803) | $ (126) | $ (677) | $ (21) | (5,843) | ||
Repurchase of stock (in shares) | (2,079,074) | (7,566) | (35,252) | (2,079,074) | ||||
Issuance of Class A common stock under stock-based compensation plans | 48 | $ 1 | 47 | |||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 95,846 | |||||||
Repurchase of Class A common stock under stock-based compensation plans | (91) | (91) | ||||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (32,023) | |||||||
Stock-based compensation | 596 | 596 | ||||||
Other | (18) | $ (9) | (9) | |||||
Dividends declared | (726) | (726) | ||||||
Balances at Sep. 30, 2020 | $ 236,886 | $ 7,943 | $ 27,630 | $ 337 | $ 2,041,986 | $ (1,841,010) | ||
Balances (in shares) at Sep. 30, 2020 | 336,273 | 1,131,648 | 33,731,170 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Cash flows from operating activities: | |||||
Net loss | $ (79,177) | $ (13,668) | |||
Adjustments to reconcile net loss to net cash provided by operating activities | |||||
Investment loss, net | $ (3,952) | $ 8,231 | 86,319 | 21,111 | |
Net premium amortization on mortgage-backed securities | 6,568 | 20,500 | |||
Other | 1,805 | 1,991 | |||
Changes in operating assets | |||||
Interest receivable | 9,074 | 1,665 | |||
Other assets | 4,148 | (351) | |||
Changes in operating liabilities | |||||
Interest payable and other liabilities | (4,075) | (2,223) | |||
Accrued compensation and benefits | (1,582) | (230) | |||
Net cash provided by operating activities | 23,080 | 28,795 | |||
Cash flows from investing activities: | |||||
Purchases of loans | (25,000) | $ (45,000) | |||
Proceeds from sales of agency mortgage-backed securities | 3,654,467 | 3,365,166 | |||
Proceeds from sales of mortgage credit securities | 122,100 | ||||
Receipt of principal payments on agency mortgage-backed securities | 196,199 | 369,029 | |||
Receipt of principal payments on mortgage credit securities | 2,163 | ||||
Payments for derivatives and deposits, net | (65,211) | (138,792) | |||
Other | (10,776) | 31 | |||
Net cash provided by (used in) investing activities | 3,069,797 | (62,020) | |||
Cash flows from financing activities: | |||||
Repayments of repurchase agreements, net | (3,072,498) | (23,723) | |||
(Payments for) proceeds from issuance of common stock | (28) | 48,804 | |||
(Payments for) proceeds from issuance of preferred stock | (38) | 28,982 | |||
Repurchase of common stock | (8,911) | ||||
Repurchase of preferred stock | (1,603) | ||||
Repurchase of long-term unsecured debt | (1,308) | ||||
Dividends paid | (10,592) | (35,422) | |||
Net cash (used in) provided by financing activities | (3,094,978) | 18,641 | |||
Net decrease in cash, cash equivalents and restricted cash | (2,101) | (14,584) | |||
Cash, cash equivalents and restricted cash, beginning of period | 19,636 | 26,713 | 26,713 | ||
Cash, cash equivalents and restricted cash, end of period | $ 17,535 | $ 12,129 | 17,535 | 12,129 | $ 19,636 |
Supplemental cash flow information: | |||||
Cash payments for interest | 23,728 | 77,154 | |||
Cash receipt for refund of prior alternative minimum tax payments | 4,566 | ||||
Variable Interest Entity, Primary Beneficiary | |||||
Cash flows from investing activities: | |||||
Purchases of mortgage-backed credit securities | (10,693) | ||||
Restricted cash balance of consolidated VIE upon consolidation | 8,658 | ||||
Mortgage Credit Securities | |||||
Cash flows from investing activities: | |||||
Purchases of mortgage-backed credit securities | (163,529) | ||||
Agency MBS | |||||
Cash flows from investing activities: | |||||
Purchases of mortgage-backed credit securities | $ (649,274) | $ (3,657,454) |
Organization and Basis of Prese
Organization and Basis of Presentation | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Note 1. Organization and Basis of Presentation Arlington Asset Investment Corp. (“Arlington Asset”) and its consolidated subsidiaries (unless the context otherwise provides, collectively, the “Company”) is an investment firm that focuses on investing in mortgage related investments generally consisting of agency mortgage-backed securities (“MBS”) and mortgage credit investments. The Company’s agency MBS include residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by either a U.S. government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or by a U.S. government agency, such as the Government National Mortgage Association (“Ginnie Mae”). The Company’s mortgage credit investments may include investments in mortgage loans secured by either residential or commercial real property, MBS collateralized by residential or commercial mortgage loans (“non-agency MBS”), and loans or securities collateralized by mortgage servicing rights (“MSR”). The principal and interest of the Company’s mortgage credit investments are not guaranteed by a GSE or a U.S. government agency. Arlington Asset is a Virginia corporation that is internally managed and does not have an external investment advisor. We elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”) upon filing our tax return for our taxable year ended December 31, 2019. As a REIT, the Company is required to distribute annually 90% of its REIT taxable income (subject to certain adjustments). So long as the Company continues to qualify as a REIT, it will generally not be subject to U.S. Federal or state corporate income taxes on its taxable income that it distributes to its shareholders on a timely basis. At present, it is the Company’s intention to distribute 100% of its taxable income, although the Company will not be required to do so. The Company intends to make distributions of its taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year The unaudited interim consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The Company’s unaudited interim consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited annual consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. The Company’s consolidated financial statements include the accounts of Arlington Asset and all other entities in which the Company has a controlling financial interest. All intercompany accounts and transactions have been eliminated in consolidation. The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect amounts reported in the consolidated financial statements. Although the Company bases these estimates and assumptions on historical experience and all other reasonably available information that the Company believes to be relevant under the circumstances, such estimates frequently require management to exercise significant subjective judgment about matters that are inherently uncertain. Actual results may differ from these estimates materially. Certain amounts in the consolidated financial statements and notes for prior periods have been reclassified to conform to the current year’s presentation. These reclassifications had no impact on the previously reported net income, total assets or total liabilities. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 2. Summary of Significant Accounting Policies Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of September 30, 2020 and December 31, 2019, approximately 96% and 97%, respectively, of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government. Investment Security Purchases and Sales Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. Interest Income Recognition for Investments in Agency MBS The Company recognizes interest income for its investments in agency MBS by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. Interest Income Recognition for Investments in Mortgage Credit Securities The Company recognizes interest income for its investments in mortgage credit securities by applying the prospective level-yield methodology required by GAAP for securitized financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis (or “reference amount”). At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in mortgage credit securities: Scenario: Effect on Interest Income Recognition for Investments in Mortgage Credit Securities: A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. The amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its reference amount), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in mortgage credit securities, subsequent measurement Investments in loans Borrowings Note 4 Note 5 Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Consolidation of variable interest entities Note 8 Balance sheet offsetting Note 9 Fair value measurements Note 10 Refer to the Company’s 2019 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Adopted Accounting Guidance ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606) The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected. Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis previously required for other-than-temporary impairments of investments in debt securities. This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update does not affect the accounting for financial assets that are measured at fair value on a recurring basis with changes in fair value reflected in net income. January 1, 2020 Substantially all of the Company’s investments in financial assets are measured at fair value on a recurring basis with changes in fair value reflected in net income. Accordingly, the adoption of ASU No. 2016-13 did not have an effect on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted Standard Description Date of Adoption Effect on the Consolidated Financial Statements ASU No. 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this update provide optional practical expedients and exceptions for applying GAAP to the modification of receivables, debt, or lease contracts as well as cash flow and fair value hedge accounting relationships that reference a rate, such as LIBOR, that is expected to be discontinued because of reference rate reform. The practical expedients and exceptions provided by the update are effective from March 12, 2020 through December 31, 2022. Not yet adopted. To date, the Company has not made any modifications to contracts due to reference rate reform. The Company has not elected to apply hedge accounting for financial reporting purposes. The Company does not currently expect the adoption of ASU No. 2020-04 to have an effect on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 9 Months Ended |
Sep. 30, 2020 | |
Agency MBS | |
Investments in MBS | Note 3. Investments in Agency MBS The Company has elected to classify its investments in agency MBS as trading securities. Accordingly, the Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value . As of September 30, 2020 and December 31, 2019, the fair value of the Company’s investments in agency MBS was $617,170 and $3,768,496, respectively. All periodic changes in the fair value of agency MBS that are not attributed to interest income are recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ 1,938 $ 12,576 $ 9,994 $ 62,220 Agency MBS sold during the period (80 ) 4,315 19,790 66,076 Total $ 1,858 $ 16,891 $ 29,784 $ 128,296 The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 7. Derivative Instruments” for further information about dollar rolls. |
Investments in Mortgage Credit
Investments in Mortgage Credit Securities | 9 Months Ended |
Sep. 30, 2020 | |
Mortgage Credit Securities | |
Investments in MBS | Note 4. Investments in Mortgage Credit Securities The Company has elected to classify its investments in mortgage credit securities as trading securities. Accordingly, the Company’s investments in mortgage credit securities are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2020 and December 31, 2019, the fair value of the Company’s investments in mortgage credit securities was $46,352 and $33,501, respectively. As of September 30, 2020, the Company’s investments in mortgage credit securities are non-agency MBS, which are securitized beneficial interests in mortgages secured by commercial or residential real property, and debt securities secured by MSRs. All periodic changes in the fair value of mortgage credit securities that are not attributed to interest income are recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in mortgage credit securities: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Net gains (losses) recognized in earnings for: Mortgage credit securities still held at period end $ 716 $ (1 ) $ (3,523 ) $ 1 Mortgage credit securities sold during the period (303 ) — (12,846 ) — Total $ 413 $ (1 ) $ (16,369 ) $ 1 |
Loans Held for Investment
Loans Held for Investment | 9 Months Ended |
Sep. 30, 2020 | |
Investments Debt And Equity Securities [Abstract] | |
Loans Held for Investment | Note 5. Loans Held for Investment The Company recognizes interest income on its loan investments based upon the contractual note rate of the loan. The Company has elected to account for its loans held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. As of September 30, 2020 and December 31, 2019, the fair value of the Company’s loans held for investment was $70,000 and $45,000, respectively. On December 31, 2019, the Company purchased a $45,000 loan secured by a first lien position in healthcare facilities and guaranteed by the operator of the facilities. The loan bears interest at a floating note rate equal to one-month LIBOR plus 4.25% with a LIBOR floor of 2.00%. The maturity date of the loan is December 31, 2021 with a one-year extension available at the option of the borrower. The loan has an initial interest-only period of one year followed by principal amortization based upon a 30-year amortization schedule beginning in 2021 with the remaining principal balance due at loan maturity. As of September 30, 2020 and December 31, 2019, the Company’s investment was $45,000 at fair value. On June 9, 2020, the Company purchased at par a $25,000 loan participation interest in a repurchase agreement financing of a variable funding note that is collateralized by MSRs and guaranteed by the borrower. The initial term of the repurchase agreement financing bore interest at one-month LIBOR plus 8.00% with a LIBOR floor of 0.50% and matured on August 7, 2020. Pursuant to the participation agreement, the Company was required to pay a 1.00% administrative fee to the seller of the participation interest during the initial term. On August 7, 2020, the Company entered into an amendment to the participation agreement reflecting amendments to the repurchase agreement financing that extended the term to May 5, 2021 that will bear interest at one-month LIBOR plus 5.75% with a LIBOR floor of 0.50%. Pursuant to the amended participation agreement, the Company is required to pay a 0.75% administrative fee to the seller of the participation interest during the extended term period. As of September 30, 2020, the Company’s investment was $25,000 at fair value. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 6. Borrowings Repurchase Agreements The Company finances the purchase of mortgage investments through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells a mortgage investment to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same asset at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. Mortgage investments sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such assets throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the mortgage investment. The difference between the proceeds received by the Company upon the initial transfer of the mortgage investment and the contractually agreed-upon repurchase price is recognized as interest expense ratably over the term of the repurchase arrangement. Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. The Company’s MBS repurchase agreement arrangements generally carry a fixed rate of interest and are short-term in nature with contract durations generally ranging from 30 to 60 days, but may be as short as one day or as long as one year. The Company’s mortgage loan repurchase agreement arrangement has a maturity date of August 14, 2021 and an interest rate that resets monthly at a rate equal to one-month LIBOR plus 2.00% with a LIBOR floor of 1.00%. Under the terms of the Company’s mortgage loan repurchase agreement, the Company may request extensions of the maturity date of the agreement for up to 364 days, subject to the lender’s approval. As of September 30, 2020 and December 31, 2019, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: September 30, 2020 December 31, 2019 Agency MBS repurchase financing: Repurchase agreements outstanding $ 477,239 $ 3,560,139 Agency MBS collateral, at fair value (1) 501,815 3,741,399 Net amount (2) 24,576 181,260 Weighted-average rate 0.21 % 2.10 % Weighted-average term to maturity 14.0 days 23.7 days Non-agency MBS repurchase financing: Repurchase agreements outstanding $ — $ 21,098 MBS collateral, at fair value (2) — 30,747 Net amount (2) — 9,649 Weighted-average rate — 3.11 % Weighted-average term to maturity — 8.1 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 31,500 $ — Mortgage loans collateral, at fair value 45,000 — Net amount (2) 13,500 — Weighted-average rate 3.00 % — Weighted-average term to maturity 318.0 days — Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 508,739 $ 3,581,237 Mortgage investments collateral, at fair value 546,815 3,772,146 Net amount (2) 38,076 190,909 Weighted-average rate 0.38 % 2.11 % Weighted-average term to maturity 32.8 days 23.6 days (1) As of September 30, 2020 and December 31, 2019, includes $41,441 and $71,284, respectively, at sale price of unsettled agency MBS sale commitments which are included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. (2) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2020 and 2019: September 30, 2020 September 30, 2019 Weighted-average outstanding balance during the three months ended $ 412,071 $ 3,609,519 Weighted-average rate during the three months ended 0.45 % 2.46 % Weighted-average outstanding balance during the nine months ended $ 1,378,097 $ 3,672,844 Weighted-average rate during the nine months ended 1.55 % 2.59 % Long-Term Unsecured Debt As of September 30, 2020 and December 31, 2019, the Company had $73,115 and $74,328, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $788 and $972, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: September 30, 2020 December 31, 2019 Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 34,969 $ 23,934 $ 15,000 $ 35,300 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.03 % 6.75 % 6.625 % 4.74 % Maturity March 15, 2025 May 1, 2023 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 The Senior Notes due 2023 and the Senior Notes due 2025 are publicly traded on the New York Stock Exchange under the ticker symbols “AIW” and “AIC,” respectively. The Senior Notes due 2023, Senior Notes due 2025 and Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option at a redemption price equal to the principal amount plus accrued and unpaid interest. The indenture governing the Senior Notes contains certain covenants, including limitations on the Company’s ability to merge or consolidate with other entities or sell or otherwise dispose of all or substantially all of the Company’s assets. During the three and nine months ended September 30, 2020, the Company repurchased $820 and $1,066 in principal balance of Senior Notes due 2023 for a purchase price of $782 and $1,012, respectively. During the three and nine months ended September 30, 2020, the Company repurchased $153 and $331 in principal balance of Senior Notes due 2025 for a purchase price of $140 and $296, respectively. There were no repurchases of outstanding long-term unsecured debentures during the year ended December 31, 2019. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Note 7. Derivative Instruments In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows. Types and Uses of Derivative Instruments Interest Rate Hedging Instruments The Company is party to interest rate hedging instruments that are intended to economically hedge changes, attributable to changes in benchmark interest rates, in certain MBS fair values and future interest cash flows on the Company’s short-term financing arrangements. Interest rate hedging instruments include centrally cleared interest rate swaps, exchange-traded instruments, such as U.S. Treasury note futures, Eurodollar futures, interest rate swap futures and options on futures, and non-exchange-traded instruments such as options on agency MBS. While the Company uses its interest rate hedging instruments to economically hedge a portion of its interest rate risk, it has not designated such contracts as hedging instruments for financial reporting purposes. The Company exchanges cash “variation margin” with the counterparties to its interest rate hedging instruments at least on a daily basis based upon daily changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those instruments are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts . However, futures commission merchants may require “initial margin” in excess of the CME’s requirement Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate hedging instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded hedging instrument is legally characterized as the daily settlement of the instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. To-Be-Announced Agency MBS Transactions, Including “Dollar Rolls” In addition to interest rate hedging instruments that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity for settlement on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment will not settle in the shortest time period possible. The Company’s agency MBS investment portfolio includes net purchase (or “net long”) positions in TBA securities, which are primarily the result of executing sequential series of “dollar roll” transactions. The Company executes dollar roll transactions as a means of investing in and financing non-specified fixed-rate agency MBS. Such transactions involve effectively delaying (or “rolling”) the settlement of a forward purchase of a TBA agency MBS by entering into an offsetting sale with the same counterparty prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering, with the same counterparty, another forward purchase of a TBA agency MBS of the same characteristics for a later settlement date. TBA securities purchased for a forward settlement month are generally priced at a discount relative to TBA securities sold for settlement in the current month. This discount, often referred to as the dollar roll “price drop,” reflects compensation for the net interest income (interest income less financing costs) that is foregone as a result of relinquishing beneficial ownership of the MBS for the duration of the dollar roll (also known as “dollar roll income”). By executing a sequential series of dollar roll transactions, the Company is able to create the economic experience of investing in an agency MBS, financed with a repurchase agreement, over a period of time. Forward purchases and sales of TBA securities are accounted for as derivative instruments in the Company’s financial statements. Accordingly, dollar roll income is recognized as a component of “investment gain (loss), net” along with all other periodic changes in the fair value of TBA commitments. In addition to transacting in net long positions in TBA securities for investment purposes, the Company may also, from time to time, transact in net sale (or “net short”) positions in TBA securities for the purpose of economically hedging a portion of the sensitivity of the fair value of the Company’s investments in agency MBS to changes in interest rates. In addition to TBA transactions, the Company may, from time to time, enter into commitments to purchase or sell specified agency MBS that do not qualify as regular-way security trades. Such commitments are also accounted for as derivative instruments. Under the terms of commitments to purchase or sell TBAs or specified agency MBS, the daily exchange of variation margin may occur based on changes in the fair value of the underlying agency MBS if a party to the transaction demands it. Receivables recognized for the right to reclaim cash collateral posted by the Company in respect of agency MBS purchase or sale commitments is included in the line item “deposits” in the accompanying consolidated balance sheets. Liabilities recognized for the obligation to return cash collateral received by the Company in respect of agency MBS purchase or sale commitments is included in the line item “other liabilities” in the accompanying consolidated balance sheets. Derivative Instrument Population and Fair Value The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: September 30, 2020 December 31, 2019 Assets Liabilities Assets Liabilities Interest rate swaps $ 118 $ — $ 1,417 $ (8 ) TBA commitments 1,063 (852 ) — — Total $ 1,181 $ (852 ) $ 1,417 $ (8 ) Interest Rate Swaps The Company’s interest rate swap agreements represent agreements to make semiannual interest payments based upon a fixed interest rate and receive quarterly variable interest payments based upon the prevailing three-month LIBOR on the date of reset. The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2020: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 10 years $ 50,000 0.64 % 0.27 % (0.37 )% 9.6 $ 118 The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2019: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 2,050,000 1.77 % 1.92 % 0.15 % 1.6 $ 83 3 to less than 7 years 510,000 1.61 % 1.92 % 0.31 % 6.0 439 7 to less than 10 years 400,000 2.24 % 1.91 % (0.33 )% 9.5 715 10 or more years 25,000 2.96 % 1.90 % (1.06 )% 28.2 172 Total / weighted-average $ 2,985,000 1.81 % 1.92 % 0.11 % 3.6 $ 1,409 U.S. Treasury Note Futures The Company may purchase or sell exchange-traded U.S. Treasury note futures with the objective of economically hedging a portion of its interest rate risk. Upon the maturity date of these futures contracts, the Company has the option to either net settle each contract in cash in an amount equal to the difference between the then-current fair value of the underlying U.S. Treasury note and the contractual sale price inherent to the futures contract, or to physically settle the contract by delivering the underlying U.S. Treasury note As of September 30, 2020 and December 31, 2019, the Company held no U.S. Treasury note futures. TBA Commitments The following table presents information about the Company’s TBA commitments as of the date indicated: September 30, 2020 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 2.0% 30-year MBS purchase commitments $ 200,000 $ 205,718 $ 206,781 $ 1,063 2.0% 30-year MBS sale commitments (200,000 ) (205,929 ) (206,781 ) (852 ) Total TBA commitments, net $ — $ (211 ) $ — $ 211 As of December 31, 2019, the Company had no outstanding TBA commitments. Derivative Instrument Gains and Losses The following tables provide information about the derivative gains and losses recognized within the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Interest rate derivatives: Interest rate swaps: Net interest (expense) income (1) $ (23 ) $ 4,445 $ 563 $ 12,961 Unrealized gains (losses), net 299 (18,087 ) 14,611 (100,337 ) Losses realized upon early termination, net — (11,992 ) (118,893 ) (67,181 ) Total interest rate swap gains (losses), net 276 (25,634 ) (103,719 ) (154,557 ) U.S. Treasury note futures, net — (2,696 ) (3,071 ) (16,421 ) Options on U.S. Treasury note futures, net — — — 76 Total interest rate derivative gains (losses), net 276 (28,330 ) (106,790 ) (170,902 ) TBA commitments: TBA dollar roll income (2) 319 923 594 4,338 Other (losses) gains on TBA commitments, net (108 ) 2,054 4,726 16,934 Total gains on TBA commitments, net 211 2,977 5,320 21,272 Other derivatives — — (1,040 ) — Total derivative gains (losses), net $ 487 $ (25,353 ) $ (102,510 ) $ (149,630 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. Derivative Instrument Activity The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Three Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 50,000 $ — $ — $ — $ 50,000 TBA purchase (sale) commitments, net — 200,000 (200,000 ) — — For the Three Months Ended September 30, 2019 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,600,000 $ 750,000 $ (250,000 ) $ (100,000 ) $ 3,000,000 2-year U.S. Treasury note futures — 139,000 (139,000 ) — — 10-year U.S. Treasury note futures 155,000 — (155,000 ) — — TBA purchase (sale) commitments, net 550,000 900,000 (1,350,000 ) — 100,000 For the Nine Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,985,000 $ 50,000 $ (100,000 ) $ (2,885,000 ) $ 50,000 2-year U.S. Treasury note futures — 1,150,000 — (1,150,000 ) — 10-year U.S. Treasury note futures — 765,000 — (765,000 ) — TBA purchase (sale) commitments, net — 375,000 (375,000 ) — — Put options on S&P 500 ETF — 1,850 (1,850 ) — — For the Nine Months Ended September 30, 2019 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,100,000 $ 1,800,000 $ (250,000 ) $ (1,650,000 ) $ 3,000,000 2-year U.S. Treasury note futures — 139,000 (139,000 ) — — 10-year U.S. Treasury note futures 320,000 826,600 (885,000 ) (261,600 ) — Sold call options on 10-year U.S. Treasury note futures — 250,000 (250,000 ) — — Purchased call options on 10-year U.S. Treasury note futures — 500,000 (500,000 ) — — TBA purchase (sale) commitments, net — 5,620,000 (5,520,000 ) — 100,000 Cash Collateral Posted and Received for Derivative and Other Financial Instruments The following table presents information about the cash collateral posted by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits, net” in the accompanying consolidated balance sheets, for the dates indicated: September 30, 2020 December 31, 2019 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 2,252 $ 37,122 Unsettled MBS trades and TBA commitments, net — 1 Total cash collateral posted, net $ 2,252 $ 37,123 |
Consolidation of Variable Inter
Consolidation of Variable Interest Entities | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Consolidation of Variable Interest Entities | Note 8. Consolidation of Variable Interest Entities The vehicles that issue the Company’s investments in securitized mortgage assets are considered variable interest entities (“VIEs”). The Company is required to consolidate any VIE in which it holds a variable interest if it determines that it holds a controlling financial interest in the VIE and is, therefore, determined to be the primary beneficiary of the VIE. The Company is determined to be the primary beneficiary of a VIE in which it holds a variable interest if it both (i) holds the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE. The economic performance of the trusts that issue the Company’s investments in securitized mortgage assets is most significantly impacted by the performance of the mortgage loans that are held by the trusts. The party that is determined to have the most power to direct the loss mitigation actions that are taken with respect to delinquent or otherwise troubled mortgage loans held by the trust is, therefore, deemed to hold the most power to direct the activities that most significantly impact the trust’s economic performance. As a passive investor, the Company does not have the power to direct the loss mitigation activities for most of the trusts that have issued its securitized mortgage assets. On September 30, 2020, the Company acquired for $10,693 an investment that represents a majority interest in the first loss position of a securitized pool of business purpose residential mortgage loans. As majority holder of the first loss position, the Company is required to approve any material loss mitigation action proposed by the servicer with respect to a troubled loan. The Company also has the option (but not the obligation) to purchase delinquent loans from the trust. As a result of these contractual rights, the Company determined that it is the party with the most power to direct the loss mitigation activities and, therefore, the economic performance of the trust. As holder of the majority of the first loss position issued by the trust, the Company has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the trust. Accordingly, the Company determined that it is the primary beneficiary of the trust and consolidated the trust’s assets and liabilities owed to third parties onto its consolidated balance sheets as follows: September 30, 2020 December 31, 2019 Restricted cash of consolidated VIE (1) $ 8,658 $ — Mortgage loans of consolidated VIE, at fair value 124,345 — Debt of consolidated VIE, at fair value (121,894 ) — Other liabilities of consolidated VIE (416 ) — Investment in consolidated VIE $ 10,693 $ — (1) Restricted cash represents cash collected by the trust that can be used solely to satisfy the liabilities of the VIE in the month following collection. The pool of business purpose residential mortgage loans held by the consolidated VIE consists of fixed-rate, short-term, interest-only mortgage loans (with the full amount of principal due at maturity) made to professional real estate investors and are secured by first lien positions in non-owner occupied residential real estate. The properties that secure these mortgage loans often require construction, repair or rehabilitation. The repayment of the mortgage loans is often largely based on the ability of the borrower to sell the mortgaged property or to convert the property for rental purposes and obtain refinancing in the form of a longer-term loan. The pool of mortgage loans and the third-party-held debt obligations of the consolidated VIE had aggregate unpaid principal balances of $127,231 and $122,368, respectively, as of September 30, 2020. The trust is contractually entitled to receive monthly interest payments on each underlying mortgage loan net of a loan-specific servicing and asset management fee that is not remitted to the trust but is, rather, retained by the servicer. As of September 30, 2020, the weighted average net note rate to which the VIE was entitled and the weighted average coupon rate of the debt obligations of the consolidated VIE were 6.03% and 4.01%, respectively. The Company acquired its investment in the first loss position at a discount to its par value which resulted in the recognition of the underlying mortgage loans at an aggregate discount to their unpaid principal balances of $2,886 that will be accreted into interest income over the lives of the loans. Pursuant to the terms of certain of the mortgage loans, the borrower may draw upon a specified amount of additional funds (not reflected in the existing unpaid principal balance of such loans) as needed in order to finance construction on, or the repair or rehabilitation of, the mortgaged property (referred to as a “construction draw”). Pursuant to the terms of the securitization transaction, if the monthly principal repayments collected from the mortgage loan pool are insufficient to fund that month’s construction draws, such shortfall is to be funded by the holders of the first loss position on a pro rata basis. Any construction draws funded by holders of the first loss position accrue interest at the net note rate of the mortgage loan. The repayment of any construction draws funded by holders of the first loss position takes priority over the senior debt securities with respect to the cash flows collected from the mortgage loan pool in the following month. As of September 30, 2020, the aggregate unfunded construction draw balance commitment attributable to the Company’s subordinate debt security investment was $14,258. The Company has elected to account for the mortgage loans and debt of the consolidated VIE at fair value with changes in fair value that are not attributed to interest income or interest expense, respectively, recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | Note 9. Offsetting of Financial Assets and Liabilities The agreements that govern certain of the Company’s derivative instruments and collateralized short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of September 30, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 118 $ — $ 118 $ — $ — $ 118 TBA commitments 1,063 — 1,063 (852 ) — 211 Total derivative instruments 1,181 — 1,181 (852 ) — 329 Total assets $ 1,181 $ — $ 1,181 $ (852 ) $ — $ 329 Liabilities: Derivative instruments: TBA commitments 852 — 852 (852 ) — — Total derivative instruments 852 — 852 (852 ) — — Repurchase agreements 508,739 — 508,739 (508,739 ) — — Total liabilities $ 509,591 $ — $ 509,591 $ (509,591 ) $ — $ — As of December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 1,417 $ — $ 1,417 $ — $ — $ 1,417 Total derivative instruments 1,417 — 1,417 — — 1,417 Total assets $ 1,417 $ — $ 1,417 $ — $ — $ 1,417 Liabilities: Derivative instruments: Interest rate swaps $ 8 $ — $ 8 $ (8 ) $ — $ — Total derivative instruments 8 — 8 (8 ) — — Repurchase agreements 3,581,237 — 3,581,237 (3,581,237 ) — — Total liabilities $ 3,581,245 $ — $ 3,581,245 $ (3,581,245 ) $ — $ — (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements
Fair Value Measurements | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Note 10. Fair Value Measurements Fair Value of Financial Instruments The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures Level 1 Inputs - Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date; Level 2 Inputs - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use. The Company measures the fair value of the following assets and liabilities: Mortgage investments Agency MBS - The Company’s investments in agency MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in agency MBS include price estimates obtained from third-party pricing services. In determining fair value, third-party pricing services use a market approach. The inputs used in the fair value measurements performed by the third-party pricing services are based upon readily observable transactions for securities with similar characteristics (such as issuer/guarantor, coupon rate, stated maturity, and collateral pool characteristics) occurring on the measurement date. The Company makes inquiries of the third-party pricing sources and review their documented valuation methodologies to understand the significant inputs and assumptions used to determine prices. The Company reviews the various third-party fair value estimates and performs procedures to validate their reasonableness, including comparison to recent trading activity for similar securities and an overall review for consistency with market conditions observed as of the measurement date. Mortgage credit securities - Most of the Company’s investments in mortgage credit securities are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in mortgage credit securities include quoted prices for similar assets in recent market transactions and estimates obtained from third-party pricing sources including pricing services and dealers. In determining fair value, third-party pricing sources use a market approach. The inputs used in the fair value measurements performed by third-party pricing sources are based upon observable transactions for mortgage credit securities with similar characteristics. The Company reviews the third-party fair value estimates and performs procedures to validate their reasonableness, including comparisons to recent trading activity observed for similar securities as well as an internally derived discounted future cash flow measurement. The Company’s non-agency MBS investment secured by a pool of business-purpose residential mortgage loans of the amount and timing of the cash flows expected to be collected from the security over its expected remaining life o prepare the estimate of cash flows expected to be collected, the Company uses significant judgment to develop assumptions about the future performance of the pool of business-purpose residential mortgage loans that serve as collateral, including assumptions about the timing and amount of credit losses and prepayments September 30, 2020 Annualized default rate 12.0 % Loss-given-default 40.0 % Discount rate 10.1 % Loans – The Company’s investments in loans are classified within Level 3 of the fair value hierarchy. To measure the fair value of its loan investments, the Company uses an income approach by preparing an estimate of the present value of the expected future cash flows of each loan over its expected remaining life, discounted at a current market rate . The significant unobservable inputs to the fair value measurement of the Company’s loan investment s are the estimated rate of default, remaining life of the loan and the discount rate, which is based on current market yields and interest rate spreads for a similar loan. As of September 30, 2020 , the weighted average e stimated rate of default, remaining life and discount rate for the Company’s loan investments were 0% , 1. 0 year and % , respectively . As of December 31, 2019, the fair value of the Company’s mortgage loan investment was its price of purchase, which occurred on the measurement date . Mortgage loans and debt of consolidated VIE – The Company has elected to apply a fair value measurement practical expedient permitted by GAAP to measure the fair value of the mortgage loans and debt obligations of its consolidated VIE. The fair value measurement practical expedient is permitted to be applied to consolidated “collateralized financing entities,” which are VIEs for which the financial liabilities of the VIE have contractual recourse solely to the financial assets of the VIE. Pursuant to the practical expedient, the Company measures the fair value of both the mortgage loans and the debt obligations of its consolidated VIE based upon the fair value of the debt obligations of the VIE, as the fair value of the debt securities issued by the VIE is more observable to the Company than the fair value of the underlying mortgage loans. As of September 30, 2020, the fair value of the mortgage loans and debt obligations of the consolidated VIE were based on the transacted price of the VIE’s debt obligations which were issued on the September 30, 2020 measurement date. The senior debt obligations of the consolidated VIE are classified within Level 2 of the fair value hierarchy. The subordinate debt obligations and the mortgage loans of the consolidated VIE are classified within Level 3 of the fair value hierarchy. Derivative instruments Exchange-traded derivative instruments - Exchange-traded derivative instruments, which include U.S. Treasury note futures, Eurodollar futures, interest rate swap futures, and options on futures, are classified within Level 1 of the fair value hierarchy as they are measured using quoted prices for identical instruments in liquid markets. Interest rate swaps - Interest rate swaps are classified within Level 2 of the fair value hierarchy. The fair values of the Company’s centrally cleared interest rate swaps are measured using the daily valuations reported by the clearinghouse through which the instrument was cleared. In performing its end-of-day valuations, the clearinghouse constructs forward interest rate curves (for example, three-month LIBOR forward rates) from its specific observations of that day’s trading activity. The clearinghouse uses the applicable forward interest rate curve to develop a market-based forecast of future remaining contractually required cash flows for each interest rate swap. Each market-based cash flow forecast is then discounted using the overnight index swap rate curve (sourced from the Federal Reserve Bank of New York) to determine a net present value amount which represents the instrument’s fair value. Forward-settling purchases and sales of TBA securities – Forward-settling purchases and sales of TBA securities are classified within Level 2 of the fair value hierarchy. The fair value of each forward-settling TBA contract is measured using price estimates obtained from a third-party pricing service, which are based upon readily observable transaction prices occurring on the measurement date for forward-settling contracts to buy or sell TBA securities with the same guarantor, contractual maturity, and coupon rate for delivery on the same forward settlement date as the commitment under measurement. Other Long-term unsecured debt - As of September 30, 2020 and December 31, 2019, the carrying value of the Company’s long-term unsecured debt was $73,115 and $74,328, respectively, net of unamortized debt issuance costs, and consists of Senior Notes and trust preferred debt issued by the Company. The Company’s estimate of the fair value of long-term unsecured debt is $68,699 and $70,429 as of September 30, 2020 and December 31, 2019, respectively. The Company’s Senior Notes, which are publicly traded on the New York Stock Exchange, are classified within Level 1 of the fair value hierarchy. Trust preferred debt is classified within Level 2 of the fair value hierarchy as the fair value is estimated based on the quoted prices of the Company’s publicly traded Senior Notes. Investments in equity securities of publicly-traded companies – As of September 30, 2020, the Company had investments in equity securities of publicly-traded companies at fair value of $12,950, which is included in the line item “other assets” in the accompanying consolidated balance sheets. The Company held no investments in equity securities of publicly-traded companies at December 31, 2019. Investments in publicly traded stock are classified within Level 1 of the fair value hierarchy as their fair value is measured based on u nadjusted quoted prices in active exchange markets for identical assets. Investments in equity securities of non-public companies and investment funds – As of September 30, 2020 and December 31, 2019, the Company had investments in equity securities and investment funds measured at fair value of $6,898 and $6,375, respectively, which are included in the line item “other assets” in the accompanying consolidated balance sheets. Investments in equity securities of non-public companies and investment funds are classified within Level 3 of the fair value hierarchy. The fair values of the Company’s investments in equity securities of non-public companies and investment funds are not readily determinable. Accordingly, the Company estimates fair value by estimating the enterprise value of the investee which it then allocates to the investee’s securities in the order of their preference relative to one another. To estimate the enterprise value of the investee, the Company uses traditional valuation methodologies based on income and market approaches, including the consideration of recent investments in, or tender offers for, the equity securities of the investee, a discounted cash flow analysis and a comparable guideline public company valuation. The primary unobservable inputs used in estimating the fair value of an equity security of a non-public company include (i) a stock price to net asset multiple for similar public companies that is applied to the entity’s net assets, (ii) a discount factor for lack of marketability and control, and (iii) a cost of equity discount rate, used to discount to present value the equity cash flows available for distribution and the terminal value of the entity. As of September 30, 2020, the stock price to net asset multiple for similar public companies, the discount factor for lack of marketability and control, and the cost of equity discount rate used as inputs were 95 percent, 10 percent, and 15 percent, respectively. As of December 31, 2019, the stock price to net asset multiple for similar public companies, the discount factor for lack of marketability and control, and the cost of equity discount rate used as inputs were 95 percent, 9 percent, and 12 percent, respectively. For its investments in investment funds, the Company estimates fair value based upon the investee’s net asset value per share. Financial assets and liabilities for which carrying value approximates fair value - Cash and cash equivalents, deposits, receivables, repurchase agreements, payables, and other assets (aside from those previously discussed) and liabilities are generally reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value. Fair Value Hierarchy Financial Instruments Measured at Fair Value on a Recurring Basis The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of September 30, 2020 and December 31, 2019. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. September 30, 2020 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 617,170 $ — $ 617,170 $ — Mortgage credit securities 46,352 — 36,504 9,848 Mortgage loans of consolidated VIE 124,345 — — 124,345 Loans 70,000 — — 70,000 Derivative assets 1,181 — 1,181 — Other assets 19,848 12,950 — 6,898 Financial liabilities: Debt of consolidated VIE 121,894 — 121,335 559 Derivative liabilities 852 — 852 — December 31, 2019 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 3,768,496 $ — $ 3,768,496 $ — Mortgage credit securities 33,501 — 33,478 23 Loans 45,000 — — 45,000 Derivative assets 1,417 — 1,417 — Other assets 6,375 — — 6,375 Financial liabilities: Derivative liabilities 8 — 8 — Level 3 Financial Assets and Liabilities The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Beginning balance $ 86,701 $ 6,052 $ 51,398 $ 6,139 Included in investment gain (loss), net (21 ) 231 (1,649 ) 224 Additions from consolidation of VIE 124,345 — 124,345 — Purchases — — 36,995 — Sales — — — — Payments, net (180 ) (23 ) (705 ) (118 ) Interest income recognized 246 4 707 19 Ending balance $ 211,091 $ 6,264 $ 211,091 $ 6,264 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (21 ) $ 231 $ (1,649 ) $ 239 The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Beginning balance $ — $ — $ — $ — Additions from consolidation of VIE 559 — 559 — Ending balance $ 559 $ — $ 559 $ — Net unrealized gains (losses) included in earnings for the period for Level 3 liabilities still held at the reporting date $ — $ — $ — $ — |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 11. Income Taxes The Company elected to be taxed as a REIT under the Internal Revenue Code upon filing its tax return for its taxable year ended December 31, 2019. As a REIT, the Company is required to distribute annually 90% of its REIT taxable income. So long as the Company continues to qualify as a REIT, it will generally not be subject to U.S. Federal or state corporate income taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders on a timely basis. At present, it is the Company’s intention to distribute 100% of its taxable income, although the Company will not be required to do so. The Company intends to make distributions of its taxable income within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. For the Company’s tax years ended December 31, 2018 and earlier, the Company was taxed as a C corporation for U.S. federal tax purposes. As of September 30, 2020, the Company had estimated net operating loss (“NOL”) carryforwards of $14,588 that can be used to offset future taxable ordinary income. The Company’s NOL carryforwards expire in 2028. As of September 30, 2020, the Company had estimated net capital loss (“NCL”) carryforwards of $244,240 that can be used to offset future net capital gains. The scheduled expirations of the Company’s NCL carryforwards are $59,835 in 2020, $70,319 in 2021, $3,763 in 2022 and $110,323 in 2023. As of September 30, 2020, the Company also had $161,386 of deferred net losses from interest rate hedges for income tax purposes. Through December 31, 2017, the Company was subject to federal alternative minimum tax (“AMT”) on its taxable income and gains that were not offset by its NOL and NCL carryforwards with any AMT credit carryforwards available to offset future regular tax liabilities. As part of the Tax Cuts and Jobs Act of 2017, the corporate AMT was repealed for tax years beginning after December 31, 2017 with any AMT credit carryforward after that date continuing to be available to offset a taxpayer’s future regular tax liability. In addition, for tax years beginning in 2018, 2019 and 2020, to the extent that AMT credit carryforwards exceed the regular tax liability, 50% of the excess AMT credit carryforwards would be refundable upon the filing of the income tax return for that year with any remaining AMT credit carryforwards fully refundable upon the filing of the 2021 income tax return. As part of the Coronavirus Aid, Relief, and Economic Security Act of 2020 (the “Cares Act”), the timing of the refunding of the full amount of excess AMT credit carryforwards was accelerated so that it could now be refunded immediately. As a result, the Company filed a request for a full refund of its remaining excess AMT credit of $ 4,566 that it received during the third quarter of 2020 . As of September 30, 2020 and December 31, 2019 , the Company had an AMT credit carryforward of $ 0 and $ 4,566 , respectively, that is included as a receivable in “other assets” on the accompanying consolidated balance sheets. The Company recognizes uncertain tax positions in the financial statements only when it is more-likely-than-not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured On May 29, 2018, the Company received an assessment of $9,380 from Arlington County, Virginia for a business, professional and occupation license (“BPOL”) tax for 2018. The BPOL tax is a local privilege tax on a business’ gross receipts for conducting business activities subject to licensure within a county in Virginia. The Company had not been assessed or paid any such BPOL tax prior to 2018. On June 28, 2018, the Company filed an administrative appeal with Arlington County. On August 1, 2018, the Company received a denial of its administrative appeal from Arlington County and, subsequently, the Company filed an administrative appeal with the Tax Commissioner of Virginia (the “Tax Commissioner”) on September 27, 2018. On June 21, 2019, the Company received a determination from the Tax Commissioner stating that he believes the Company is engaged in a licensable privilege subject to the BPOL tax. The Tax Commissioner requested that Arlington County revise its initial BPOL tax assessment to exclude certain gross receipts from its tax calculation. On August 21, 2019, the Company received a revised 2018 BPOL tax assessment of $488, including interest charges, as well as a 2019 BPOL tax assessment of $471 from Arlington County both of which the Company paid on September 3, 2019. On September 30, 2019, the Company relocated its corporate headquarters from Arlington County to Fairfax County, Virginia. As a result, the Company received a partial refund of its 2019 BPOL tax of $118 from Arlington County while also recognizing a partial year 2019 BPOL tax assessment of $54 to Fairfax County. For the year ended December 31, 2019, the Company recognized an expense of $892 in “other general and administrative expense” which represents the 2018 and 2019 BPOL tax (and associated interest). BPOL tax for the 2017 year remains subject to examination by Arlington County, although the county has previously informally indicated that it did not intend to pursue assessments for that year at such time. |
Earnings (Loss) Per Share
Earnings (Loss) Per Share | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) Per Share | Note 12. Earnings (Loss) Per Share Basic earnings (loss) per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as unvested shares of restricted stock, restricted stock units, and performance share units. The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, (Shares in thousands) 2020 2019 2020 2019 Basic weighted-average common shares outstanding 34,655 36,572 35,990 35,399 Performance share units, unvested restricted stock units, and unvested restricted stock 42 — — — Diluted weighted-average common shares outstanding 34,697 36,572 35,990 35,399 Net income (loss) available (attributable) to common stock $ 4,033 $ (8,511 ) $ (81,435 ) $ (15,494 ) Basic earnings (loss) per common share $ 0.12 $ (0.23 ) $ (2.26 ) $ (0.44 ) Diluted earnings (loss) per common share $ 0.12 $ (0.23 ) $ (2.26 ) $ (0.44 ) The diluted loss per share for the nine months ended September 30, 2020 did not include the antidilutive effect of 65,208 shares of unvested shares of restricted stock, restricted stock units, and performance share units. The diluted loss per share for the three and nine months ended September 30, 2019 did not include the antidilutive effect of 179,464 and 125,403 shares of unvested shares of restricted stock, restricted stock units, and performance share units, respectively. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Note 13. Stockholders’ Equity Common Stock The Company has authorized common share capital of 450,000,000 shares of Class A common stock, par value $0.01 per share, and 100,000,000 shares of Class B common stock, par value $0.01 per share. Holders of the Class A and Class B common stock are entitled to one vote and three votes per share, respectively, on all matters voted upon by the shareholders. Shares of Class B common stock are convertible into shares of Class A common stock on a one-for-one basis at the option of the Company in certain circumstances including either (i) upon sale or other transfer, or (ii) at the time the holder of such shares of Class B common stock ceases to be employed by the Company. As of September 30, 2020 and December 31, 2019 , there were no outstanding shares of Class B common stock. The Class A common stock is publicly traded on the New York Stock Exchange under the ticker symbol “A A I C .” Common Stock Dividends The Board of Directors evaluates common stock dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s common stock dividend payments, if any, may vary significantly from quarter to quarter. For the quarters ended March 31, 2020, June 30, 2020, and September 30, 2020, the Board of Directors determined that the Company would not declare a dividend on its common stock. The Board of Directors approved and the Company declared and paid the following dividends on its common stock for 2019: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.225 December 13 December 31 February 3, 2020 September 30 0.225 September 17 September 30 October 31 June 30 0.225 June 24 July 5 July 31 March 31 0.375 March 18 March 29 April 30 For REIT qualification purposes, the common stock dividend of $0.225 per share declared on December 13, 2019 and paid on February 3, 2020 is considered a distribution of taxable income for tax year 2020. As such, this dividend is applicable to the Company’s REIT taxable income distribution requirements for tax year 2020. Common Equity Offerings On February 22, 2019, the Company completed a public offering in which 6,000,000 shares of its Class A common stock were sold at a price of $8.16 per share for proceeds net of offering expenses of $48,827. Common Equity Distribution Agreements On August 10, 2018, the Company entered into separate common equity distribution agreements with equity sales agents JMP Securities LLC, B. Riley FBR, Inc., JonesTrading Institutional Services LLC and Ladenburg Thalmann & Co. Inc. pursuant to which the Company may offer and sell, from time to time, up to 12,597,423 shares of the Company’s Class A common stock. Pursuant to the common equity distribution agreements, shares of the Company’s common stock may be offered and sold through the equity sales agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange or, subject to the terms of a written notice from the Company, in privately negotiated transactions. During the three and nine months ended September 30, 2020 and the year ended December 31, 2019, there were no issuances of common stock under the common equity distribution agreements. As of September 30, 2020, the Company had 11,302,160 shares of Class A common stock available for sale under the common equity distribution agreements. Common Share Repurchase Program On October 26, 2015, the Company announced that its Board of Directors authorized a share repurchase program pursuant to which the Company may repurchase up to 2,000,000 shares of Class A common stock (the “Repurchase Program”). On July 31, 2020, the Company announced that its Board of Directors authorized an increase in the Repurchase Program pursuant to which the Company may repurchase up to 18,000,000 shares of Class A common stock, inclusive of 56,090 shares previously available to be repurchased under the prior authorization. Repurchases under the Repurchase Program may be made from time to time on the open market and in private transactions at management’s discretion in accordance with applicable federal securities laws. The timing of repurchases and the exact number of shares of Class A common stock to be repurchased will depend upon market conditions and other factors. The Repurchase Program is funded using the Company’s cash on hand and cash generated from operations. The Repurchase Program has no expiration date and may be suspended or terminated at any time without prior notice. Du ring the three and nine months ended September 30, 2020 , the Company repurchased 2,079,074 and 3,148,414 shares of Class A common stock for a total purchase price of $ 5,864 and $ 8,911 , respectively . There were no shares repurchased by the Company under the Repurchase Program during the year ended December 31, 2019 . As of September 30, 2020 , there remain available for repurchase 16,746,801 shares of Class A common stock under the Repurchase Program. Preferred Stock The Company has authorized preferred share capital of (i) 100,000 shares designated as Series A Preferred Stock that is unissued; (ii) 2,000,000 shares designated as 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock (the “Series B Preferred Stock”), par value of $0.01 per share; (iii) 2,500,000 shares designated as 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”), par value of $0.01 per share; and (iv) 20,400,000 shares of undesignated preferred stock. The Company’s Board of Directors has the authority, without further action by the shareholders, to issue additional preferred stock in one or more series and to fix the terms and rights of the preferred stock. The Company’s preferred stock ranks senior to its common stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution, or winding up of the Company. The Company’s preferred stock ranks on parity with each other. The Series B Preferred Stock and Series C Preferred Stock are publicly traded on the New York Stock Exchange under the ticker symbols “AAIC PrB” and “AAIC PrC,” respectively. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund and will remain outstanding indefinitely unless repurchased or redeemed by the Company. Holders of Series B Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive a cumulative cash dividend at a rate of 7.00% per annum of their $25.00 per share liquidation preference (equivalent to $1.75 per annum per share). Shares of Series B Preferred Stock are redeemable at $25.00 per share, plus accumulated and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option commencing on May 12, 2022 or earlier upon the occurrence of a change in control. Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. The Company has declared and paid all required quarterly dividends on the Company’s Series B Preferred Stock to date in 2020. During the three and nine months ended September 30, 2020, the Company repurchased 7,566 and 17,766 shares of Series B Preferred Stock for a total purchase price of $126 and $299, respectively. On March 12, 2019, the Company completed an initial public offering in which 1,200,000 shares of its Series C Preferred Stock were issued to the public at a public offering price of $25.00 per share for proceeds net of underwriting discounts and commissions and expenses of $28,944. The Series C Preferred Stock has no stated maturity, is not subject to any sinking fund and will remain outstanding indefinitely unless repurchased or redeemed by the Company. Holders of Series C Preferred Stock have no voting rights, except under limited conditions, and are entitled to receive a cumulative cash dividend (i) from and including the original issue date to, but excluding, March 30, 2024 at a fixed rate equal to 8.250% per annum of the $25.00 per share liquidation preference (equivalent to $2.0625 per annum per share) and (ii) from and including March 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.664% per annum of the $25.00 per share liquidation preference. Shares of Series C Preferred Stock are redeemable at $25.00 per share, plus accumulated and unpaid dividends (whether or not authorized or declared), exclusively at the Company’s option commencing on March 30, 2024 or earlier upon the occurrence of a change in control or under circumstances where it is necessary to preserve the Company’s qualification as a REIT. Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. The Company has declared and paid all required quarterly dividends on the Company’s Series C Preferred Stock to date in 2020. During the three and nine months ended September 30, 2020, the Company repurchased 35,252 and 68,352 shares of Series C Preferred Stock for a total purchase price of $677 and $1,304, respectively. Preferred Equity Distribution Agreements On May 16, 2017, the Company entered into an equity distribution agreement with JonesTrading Institutional Services LLC, pursuant to which the Company may offer and sell, from time to time, up to 1,865,000 shares of the Company’s Series B Preferred Stock. On March 21, 2019, the Company entered into an amended and restated equity distribution agreement with JonesTrading Institutional Services LLC, B. Riley FBR, Inc., Compass Point Research and Trading, LLC and Ladenburg Thalmann & Co. Inc., pursuant to which the Company may offer and sell, from time to time, up to 1,647,370 shares of the Company’s Series B Preferred Stock. Pursuant to the Series B preferred equity distribution agreement, shares of the Company’s Series B Preferred stock may be offered and sold through the preferred equity sales agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange or, subject to the terms of a written notice from the Company, in privately negotiated transactions. During the three and nine months ended September 30, 2020, there were no issuances of preferred stock under the Series B preferred equity distribution agreement. The following table provides information about the issuances of preferred stock under the Series B preferred equity distribution agreements for the period indicated: Series B Preferred Stock Issuances Year Ended December 31, 2019 Shares issued 3,444 Weighted average public offering price $ 22.39 Net proceeds (1) $ 76 (1) As of September 30, 2020, the Company had 1,645,961 shares of Series B Preferred stock available for sale under the preferred equity distribution agreement. Shareholder Rights Agreement On June 1, 2009, the Board of Directors approved a shareholder rights agreement (“Rights Plan”) and the Company’s shareholders approved the Rights Plan at its annual meeting of shareholders on June 2, 2010. On April 9, 2018, the Board of Directors approved a first amendment to the Rights Plan (“First Amendment”) to extend the term for an additional three years and the Company’s shareholders approved the First Amendment at its annual meeting of shareholders on June 14, 2018. Under the terms of the Rights Plan, in general, if a person or group acquires or commences a tender or exchange offer for beneficial ownership of 4.9% or more of the outstanding shares of our Class A common stock upon a determination by our Board of Directors (an “Acquiring Person”), all of our other Class A and Class B common shareholders will have the right to purchase securities from us at a discount to such securities’ fair market value, thus causing substantial dilution to the Acquiring Person. The Board of Directors adopted the Rights Plan in an effort to protect against a possible limitation on the Company’s ability to use its NOL carryforwards, NCL carryforwards, and built-in losses under Sections 382 and 383 of the Internal Revenue Code. The Company’s ability to use its NOLs, NCLs and built-in losses would be limited if it experienced an “ownership change” under Section 382 of the Internal Revenue Code. In general, an “ownership change” would occur if there is a cumulative change in the ownership of the Company’s common stock of more than 50% by one or more “5% shareholders” during a three-year period. The Rights Plan was adopted to dissuade any person or group from acquiring 4.9% or more of the Company’s outstanding Class A common stock, each, an Acquiring Person, without the approval of the Board of Directors and triggering an “ownership change” as defined by Section 382. The Rights Plan, as amended, and any outstanding rights will expire at the earliest of (i) June 4, 2022, (ii) the time at which the rights are redeemed or exchanged pursuant to the Rights Plan, (iii) the repeal of Section 382 and 383 of the Internal Revenue Code or any successor statute if the Board of Directors determines that the Rights Plan is no longer necessary for the preservation of the applicable tax benefits, or (iv) the beginning of a taxable year to which the Board of Directors determines that no applicable tax benefits may be carried forward. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Cash Equivalents | Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of September 30, 2020 and December 31, 2019, approximately 96% and 97%, respectively, of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government. |
Investment Security Purchases and Sales | Investment Security Purchases and Sales Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. |
Interest Income Recognition for Investments in Agency MBS | Interest Income Recognition for Investments in Agency MBS The Company recognizes interest income for its investments in agency MBS by applying the “interest method” permitted by GAAP, whereby purchase premiums and discounts are amortized and accreted, respectively, as an adjustment to contractual interest income accrued at each security’s stated coupon rate. The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. |
Interest Income Recognition for Investments in Mortgage Credit Securities | Interest Income Recognition for Investments in Mortgage Credit Securities The Company recognizes interest income for its investments in mortgage credit securities by applying the prospective level-yield methodology required by GAAP for securitized financial assets that are either not of high credit quality at the time of acquisition or can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis (or “reference amount”). At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in mortgage credit securities: Scenario: Effect on Interest Income Recognition for Investments in Mortgage Credit Securities: A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. The amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its reference amount), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. |
Other Significant Accounting Policies | Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in mortgage credit securities, subsequent measurement Investments in loans Borrowings Note 4 Note 5 Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Consolidation of variable interest entities Note 8 Balance sheet offsetting Note 9 Fair value measurements Note 10 Refer to the Company’s 2019 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Adopted Accounting Guidance ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606) The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected. Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis previously required for other-than-temporary impairments of investments in debt securities. This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update does not affect the accounting for financial assets that are measured at fair value on a recurring basis with changes in fair value reflected in net income. January 1, 2020 Substantially all of the Company’s investments in financial assets are measured at fair value on a recurring basis with changes in fair value reflected in net income. Accordingly, the adoption of ASU No. 2016-13 did not have an effect on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted Standard Description Date of Adoption Effect on the Consolidated Financial Statements ASU No. 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this update provide optional practical expedients and exceptions for applying GAAP to the modification of receivables, debt, or lease contracts as well as cash flow and fair value hedge accounting relationships that reference a rate, such as LIBOR, that is expected to be discontinued because of reference rate reform. The practical expedients and exceptions provided by the update are effective from March 12, 2020 through December 31, 2022. Not yet adopted. To date, the Company has not made any modifications to contracts due to reference rate reform. The Company has not elected to apply hedge accounting for financial reporting purposes. The Company does not currently expect the adoption of ASU No. 2020-04 to have an effect on its consolidated financial statements. |
Repurchase Agreements | The Company finances the purchase of mortgage investments through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells a mortgage investment to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same asset at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. Mortgage investments sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such assets throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the mortgage investment. The difference between the proceeds received by the Company upon the initial transfer of the mortgage investment and the contractually agreed-upon repurchase price is recognized as interest expense ratably over the term of the repurchase arrangement. |
Derivative Instruments | In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within the consolidated statements of cash flows. In addition to interest rate hedging instruments that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward commitments to purchase fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) securities. A TBA security is a forward commitment for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity for settlement on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The specific agency MBS to be delivered is determined 48 hours prior to the settlement date. The Company accounts for TBA securities as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA commitment that its settlement will result in physical delivery of the underlying agency MBS, or the individual TBA commitment will not settle in the shortest time period possible. |
Consolidation of Variable Interest Entities | The vehicles that issue the Company’s investments in securitized mortgage assets are considered variable interest entities (“VIEs”). The Company is required to consolidate any VIE in which it holds a variable interest if it determines that it holds a controlling financial interest in the VIE and is, therefore, determined to be the primary beneficiary of the VIE. The Company is determined to be the primary beneficiary of a VIE in which it holds a variable interest if it both (i) holds the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE. The economic performance of the trusts that issue the Company’s investments in securitized mortgage assets is most significantly impacted by the performance of the mortgage loans that are held by the trusts. The party that is determined to have the most power to direct the loss mitigation actions that are taken with respect to delinquent or otherwise troubled mortgage loans held by the trust is, therefore, deemed to hold the most power to direct the activities that most significantly impact the trust’s economic performance. As a passive investor, the Company does not have the power to direct the loss mitigation activities for most of the trusts that have issued its securitized mortgage assets. |
Derivatives, Offsetting of Financial Assets and Liabilities | The agreements that govern certain of the Company’s derivative instruments and collateralized short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. Receivables recognized for the right to reclaim cash initial margin posted in respect of interest rate derivative instruments are included in the line item “deposits” in the accompanying consolidated balance sheets. The daily exchange of variation margin associated with a centrally cleared or exchange-traded derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its interest rate swaps and futures as a direct reduction to the carrying value of derivative asset or liability, respectively. The carrying amount of interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments generally represents the change in fair value that occurred on the last day of the reporting period. |
Fair Value of Financial Instruments | The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures Level 1 Inputs - Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company at the measurement date; Level 2 Inputs - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs - Unobservable inputs for the asset or liability, including significant judgments made by the Company about the assumptions that a market participant would use. The Company measures the fair value of the following assets and liabilities: |
Variable Interest Entity | |
Investment Security Purchases and Sales | The Company has elected to account for the mortgage loans and debt of the consolidated VIE at fair value with changes in fair value that are not attributed to interest income or interest expense, respectively, recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income |
Agency MBS | |
Investment Security Purchases and Sales | The Company has elected to classify its investments in agency MBS as trading securities. Accordingly, the Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value . As of September 30, 2020 and December 31, 2019, the fair value of the Company’s investments in agency MBS was $617,170 and $3,768,496, respectively. |
Mortgage Credit Securities | |
Investment Security Purchases and Sales | The Company has elected to classify its investments in mortgage credit securities as trading securities. Accordingly, the Company’s investments in mortgage credit securities are reported in the accompanying consolidated balance sheets at fair value. As of September 30, 2020 and December 31, 2019, the fair value of the Company’s investments in mortgage credit securities was $46,352 and $33,501, respectively. |
Loans Held for Investment | |
Investment Security Purchases and Sales | The Company recognizes interest income on its loan investments based upon the contractual note rate of the loan. The Company has elected to account for its loans held for investment at fair value on a recurring basis with periodic changes in fair value recognized as a component of “investment gain (loss), net” in the accompanying consolidated statements of comprehensive income. |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Agency MBS | |
Additional Information Realized Gain Loss on Investments | The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Net gains (losses) recognized in earnings for: Agency MBS still held at period end $ 1,938 $ 12,576 $ 9,994 $ 62,220 Agency MBS sold during the period (80 ) 4,315 19,790 66,076 Total $ 1,858 $ 16,891 $ 29,784 $ 128,296 |
Investments in Mortgage Credi_2
Investments in Mortgage Credit Securities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Mortgage Credit Securities | |
Additional Information Realized Gain Loss on Investments | The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in mortgage credit securities: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Net gains (losses) recognized in earnings for: Mortgage credit securities still held at period end $ 716 $ (1 ) $ (3,523 ) $ 1 Mortgage credit securities sold during the period (303 ) — (12,846 ) — Total $ 413 $ (1 ) $ (16,369 ) $ 1 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | The Company’s MBS repurchase agreement arrangements generally carry a fixed rate of interest and are short-term in nature with contract durations generally ranging from 30 to 60 days, but may be as short as one day or as long as one year. The Company’s mortgage loan repurchase agreement arrangement has a maturity date of August 14, 2021 and an interest rate that resets monthly at a rate equal to one-month LIBOR plus 2.00% with a LIBOR floor of 1.00%. Under the terms of the Company’s mortgage loan repurchase agreement, the Company may request extensions of the maturity date of the agreement for up to 364 days, subject to the lender’s approval. As of September 30, 2020 and December 31, 2019, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of the dates indicated: September 30, 2020 December 31, 2019 Agency MBS repurchase financing: Repurchase agreements outstanding $ 477,239 $ 3,560,139 Agency MBS collateral, at fair value (1) 501,815 3,741,399 Net amount (2) 24,576 181,260 Weighted-average rate 0.21 % 2.10 % Weighted-average term to maturity 14.0 days 23.7 days Non-agency MBS repurchase financing: Repurchase agreements outstanding $ — $ 21,098 MBS collateral, at fair value (2) — 30,747 Net amount (2) — 9,649 Weighted-average rate — 3.11 % Weighted-average term to maturity — 8.1 days Mortgage loans repurchase financing: Repurchase agreements outstanding $ 31,500 $ — Mortgage loans collateral, at fair value 45,000 — Net amount (2) 13,500 — Weighted-average rate 3.00 % — Weighted-average term to maturity 318.0 days — Total mortgage investments repurchase financing: Repurchase agreements outstanding $ 508,739 $ 3,581,237 Mortgage investments collateral, at fair value 546,815 3,772,146 Net amount (2) 38,076 190,909 Weighted-average rate 0.38 % 2.11 % Weighted-average term to maturity 32.8 days 23.6 days (1) As of September 30, 2020 and December 31, 2019, includes $41,441 and $71,284, respectively, at sale price of unsettled agency MBS sale commitments which are included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. (2) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and nine months ended September 30, 2020 and 2019: September 30, 2020 September 30, 2019 Weighted-average outstanding balance during the three months ended $ 412,071 $ 3,609,519 Weighted-average rate during the three months ended 0.45 % 2.46 % Weighted-average outstanding balance during the nine months ended $ 1,378,097 $ 3,672,844 Weighted-average rate during the nine months ended 1.55 % 2.59 % |
Schedule of Long-term Unsecured Debt Instruments | As of September 30, 2020 and December 31, 2019, the Company had $73,115 and $74,328, respectively, of outstanding long-term unsecured debentures, net of unamortized debt issuance costs of $788 and $972, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: September 30, 2020 December 31, 2019 Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 34,969 $ 23,934 $ 15,000 $ 35,300 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.03 % 6.75 % 6.625 % 4.74 % Maturity March 15, 2025 May 1, 2023 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: September 30, 2020 December 31, 2019 Assets Liabilities Assets Liabilities Interest rate swaps $ 118 $ — $ 1,417 $ (8 ) TBA commitments 1,063 (852 ) — — Total $ 1,181 $ (852 ) $ 1,417 $ (8 ) |
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location | The following tables provide information about the derivative gains and losses recognized within the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Interest rate derivatives: Interest rate swaps: Net interest (expense) income (1) $ (23 ) $ 4,445 $ 563 $ 12,961 Unrealized gains (losses), net 299 (18,087 ) 14,611 (100,337 ) Losses realized upon early termination, net — (11,992 ) (118,893 ) (67,181 ) Total interest rate swap gains (losses), net 276 (25,634 ) (103,719 ) (154,557 ) U.S. Treasury note futures, net — (2,696 ) (3,071 ) (16,421 ) Options on U.S. Treasury note futures, net — — — 76 Total interest rate derivative gains (losses), net 276 (28,330 ) (106,790 ) (170,902 ) TBA commitments: TBA dollar roll income (2) 319 923 594 4,338 Other (losses) gains on TBA commitments, net (108 ) 2,054 4,726 16,934 Total gains on TBA commitments, net 211 2,977 5,320 21,272 Other derivatives — — (1,040 ) — Total derivative gains (losses), net $ 487 $ (25,353 ) $ (102,510 ) $ (149,630 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. |
Derivative Instrument Volume of Activity | The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Three Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 50,000 $ — $ — $ — $ 50,000 TBA purchase (sale) commitments, net — 200,000 (200,000 ) — — For the Three Months Ended September 30, 2019 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,600,000 $ 750,000 $ (250,000 ) $ (100,000 ) $ 3,000,000 2-year U.S. Treasury note futures — 139,000 (139,000 ) — — 10-year U.S. Treasury note futures 155,000 — (155,000 ) — — TBA purchase (sale) commitments, net 550,000 900,000 (1,350,000 ) — 100,000 For the Nine Months Ended September 30, 2020 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 2,985,000 $ 50,000 $ (100,000 ) $ (2,885,000 ) $ 50,000 2-year U.S. Treasury note futures — 1,150,000 — (1,150,000 ) — 10-year U.S. Treasury note futures — 765,000 — (765,000 ) — TBA purchase (sale) commitments, net — 375,000 (375,000 ) — — Put options on S&P 500 ETF — 1,850 (1,850 ) — — For the Nine Months Ended September 30, 2019 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 3,100,000 $ 1,800,000 $ (250,000 ) $ (1,650,000 ) $ 3,000,000 2-year U.S. Treasury note futures — 139,000 (139,000 ) — — 10-year U.S. Treasury note futures 320,000 826,600 (885,000 ) (261,600 ) — Sold call options on 10-year U.S. Treasury note futures — 250,000 (250,000 ) — — Purchased call options on 10-year U.S. Treasury note futures — 500,000 (500,000 ) — — TBA purchase (sale) commitments, net — 5,620,000 (5,520,000 ) — 100,000 |
Derivative Instruments and Other Financial Instrument Cash Collateral | The following table presents information about the cash collateral posted by the Company in respect of its derivative and other financial instruments, which is included in the line item “deposits, net” in the accompanying consolidated balance sheets, for the dates indicated: September 30, 2020 December 31, 2019 Cash collateral posted for: Interest rate swaps (cash initial margin) $ 2,252 $ 37,122 Unsettled MBS trades and TBA commitments, net — 1 Total cash collateral posted, net $ 2,252 $ 37,123 |
TBA Commitments | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s TBA commitments as of the date indicated: September 30, 2020 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value 2.0% 30-year MBS purchase commitments $ 200,000 $ 205,718 $ 206,781 $ 1,063 2.0% 30-year MBS sale commitments (200,000 ) (205,929 ) (206,781 ) (852 ) Total TBA commitments, net $ — $ (211 ) $ — $ 211 As of December 31, 2019, the Company had no outstanding TBA commitments. |
Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s interest rate swap agreements that were in effect as of September 30, 2020: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 10 years $ 50,000 0.64 % 0.27 % (0.37 )% 9.6 $ 118 The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2019: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Net Receive (Pay) Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 2,050,000 1.77 % 1.92 % 0.15 % 1.6 $ 83 3 to less than 7 years 510,000 1.61 % 1.92 % 0.31 % 6.0 439 7 to less than 10 years 400,000 2.24 % 1.91 % (0.33 )% 9.5 715 10 or more years 25,000 2.96 % 1.90 % (1.06 )% 28.2 172 Total / weighted-average $ 2,985,000 1.81 % 1.92 % 0.11 % 3.6 $ 1,409 |
Consolidation of Variable Int_2
Consolidation of Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Schedule of Trust’s Assets and Liabilities Owed to Third Parties | Accordingly, the Company determined that it is the primary beneficiary of the trust and consolidated the trust’s assets and liabilities owed to third parties onto its consolidated balance sheets as follows: September 30, 2020 December 31, 2019 Restricted cash of consolidated VIE (1) $ 8,658 $ — Mortgage loans of consolidated VIE, at fair value 124,345 — Debt of consolidated VIE, at fair value (121,894 ) — Other liabilities of consolidated VIE (416 ) — Investment in consolidated VIE $ 10,693 $ — (1) Restricted cash represents cash collected by the trust that can be used solely to satisfy the liabilities of the VIE in the month following collection. |
Offsetting of Financial Asset_2
Offsetting of Financial Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of September 30, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 118 $ — $ 118 $ — $ — $ 118 TBA commitments 1,063 — 1,063 (852 ) — 211 Total derivative instruments 1,181 — 1,181 (852 ) — 329 Total assets $ 1,181 $ — $ 1,181 $ (852 ) $ — $ 329 Liabilities: Derivative instruments: TBA commitments 852 — 852 (852 ) — — Total derivative instruments 852 — 852 (852 ) — — Repurchase agreements 508,739 — 508,739 (508,739 ) — — Total liabilities $ 509,591 $ — $ 509,591 $ (509,591 ) $ — $ — As of December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 1,417 $ — $ 1,417 $ — $ — $ 1,417 Total derivative instruments 1,417 — 1,417 — — 1,417 Total assets $ 1,417 $ — $ 1,417 $ — $ — $ 1,417 Liabilities: Derivative instruments: Interest rate swaps $ 8 $ — $ 8 $ (8 ) $ — $ — Total derivative instruments 8 — 8 (8 ) — — Repurchase agreements 3,581,237 — 3,581,237 (3,581,237 ) — — Total liabilities $ 3,581,245 $ — $ 3,581,245 $ (3,581,245 ) $ — $ — (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Summary of Significant Inputs to Fair Value Measurement of Non-agency MBS Secured by Residential Mortgage Loans | The following table presents the significant inputs to the fair value measurement of the Company’s non-agency MBS secured by business-purpose residential mortgage loans as of September 30, 2020: September 30, 2020 Annualized default rate 12.0 % Loss-given-default 40.0 % Discount rate 10.1 % |
Financial Instruments Measured at Fair Value on a Recurring Basis | The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of September 30, 2020 and December 31, 2019. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. September 30, 2020 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 617,170 $ — $ 617,170 $ — Mortgage credit securities 46,352 — 36,504 9,848 Mortgage loans of consolidated VIE 124,345 — — 124,345 Loans 70,000 — — 70,000 Derivative assets 1,181 — 1,181 — Other assets 19,848 12,950 — 6,898 Financial liabilities: Debt of consolidated VIE 121,894 — 121,335 559 Derivative liabilities 852 — 852 — December 31, 2019 Total Level 1 Level 2 Level 3 Financial assets: Agency MBS $ 3,768,496 $ — $ 3,768,496 $ — Mortgage credit securities 33,501 — 33,478 23 Loans 45,000 — — 45,000 Derivative assets 1,417 — 1,417 — Other assets 6,375 — — 6,375 Financial liabilities: Derivative liabilities 8 — 8 — |
Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis | Level 3 Financial Assets and Liabilities The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Beginning balance $ 86,701 $ 6,052 $ 51,398 $ 6,139 Included in investment gain (loss), net (21 ) 231 (1,649 ) 224 Additions from consolidation of VIE 124,345 — 124,345 — Purchases — — 36,995 — Sales — — — — Payments, net (180 ) (23 ) (705 ) (118 ) Interest income recognized 246 4 707 19 Ending balance $ 211,091 $ 6,264 $ 211,091 $ 6,264 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (21 ) $ 231 $ (1,649 ) $ 239 The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, 2020 2019 2020 2019 Beginning balance $ — $ — $ — $ — Additions from consolidation of VIE 559 — 559 — Ending balance $ 559 $ — $ 559 $ — Net unrealized gains (losses) included in earnings for the period for Level 3 liabilities still held at the reporting date $ — $ — $ — $ — |
Earnings (Loss) Per Share (Tabl
Earnings (Loss) Per Share (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Computations of Basic and Diluted Earnings (Loss) Per Share | The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended September 30, Nine Months Ended September 30, (Shares in thousands) 2020 2019 2020 2019 Basic weighted-average common shares outstanding 34,655 36,572 35,990 35,399 Performance share units, unvested restricted stock units, and unvested restricted stock 42 — — — Diluted weighted-average common shares outstanding 34,697 36,572 35,990 35,399 Net income (loss) available (attributable) to common stock $ 4,033 $ (8,511 ) $ (81,435 ) $ (15,494 ) Basic earnings (loss) per common share $ 0.12 $ (0.23 ) $ (2.26 ) $ (0.44 ) Diluted earnings (loss) per common share $ 0.12 $ (0.23 ) $ (2.26 ) $ (0.44 ) |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Schedule of Dividends Payable | For the quarters ended March 31, 2020, June 30, 2020, and September 30, 2020, the Board of Directors determined that the Company would not declare a dividend on its common stock. The Board of Directors approved and the Company declared and paid the following dividends on its common stock for 2019: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.225 December 13 December 31 February 3, 2020 September 30 0.225 September 17 September 30 October 31 June 30 0.225 June 24 July 5 July 31 March 31 0.375 March 18 March 29 April 30 |
Series B Preferred Equity Distribution Agreement | |
Issuances of Stock under Equity Distribution Agreements | During the three and nine months ended September 30, 2020, there were no issuances of preferred stock under the Series B preferred equity distribution agreement. The following table provides information about the issuances of preferred stock under the Series B preferred equity distribution agreements for the period indicated: Series B Preferred Stock Issuances Year Ended December 31, 2019 Shares issued 3,444 Weighted average public offering price $ 22.39 Net proceeds (1) $ 76 (1) |
Organization and Basis of Pre_2
Organization and Basis of Presentation - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2020 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Required annual distribution of taxable income | 90.00% |
Intended annual distribution of taxable income | 100.00% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies - Additional Information (Details) | Sep. 30, 2020 | Dec. 31, 2019 |
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||
Cash Equivalents Percentage Held in Us Government Backed Securities | 96.00% | 97.00% |
ASU No. 2016-13 | ||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||
Change in Accounting Principle, Accounting Standards Update, Adopted | true | |
Change in Accounting Principle, Accounting Standards Update, Adoption Date | Jan. 1, 2020 | |
Change in Accounting Principle, Accounting Standards Update, Immaterial Effect | true | |
ASU No. 2020-04 | ||
New Accounting Pronouncements Or Change In Accounting Principle [Line Items] | ||
Change in Accounting Principle, Accounting Standards Update, Adopted | false |
Investments in Agency MBS - Add
Investments in Agency MBS - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Agency MBS | ||
Fair Value of MBS | $ 617,170 | $ 3,768,496 |
Investments in Agency MBS - A_2
Investments in Agency MBS - Additional Information About Gains and Losses Recognized with Respect to Investments in Agency MBS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net gains (losses) recognized in earnings for: | ||||
Total | $ 2,696 | $ 16,890 | $ 13,415 | $ 128,297 |
Agency MBS | ||||
Net gains (losses) recognized in earnings for: | ||||
MBS still held at period end | 1,938 | 12,576 | 9,994 | 62,220 |
MBS sold during the period | (80) | 4,315 | 19,790 | 66,076 |
Total | $ 1,858 | $ 16,891 | $ 29,784 | $ 128,296 |
Investments in Mortgage Credi_3
Investments in Mortgage Credit Securities - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Mortgage Credit Securities | ||
Fair Value of MBS | $ 46,352 | $ 33,501 |
Investments in Mortgage Credi_4
Investments in Mortgage Credit Securities - Additional Information About Gains and Losses Recognized with Respect to Investments in Mortgage Credit Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Net gains (losses) recognized in earnings for: | ||||
Total | $ 2,696 | $ 16,890 | $ 13,415 | $ 128,297 |
Mortgage Credit Securities | ||||
Net gains (losses) recognized in earnings for: | ||||
Mortgage credit securities still held at period end | 716 | (1) | (3,523) | 1 |
Mortgage credit securities sold during the period | (303) | (12,846) | ||
Total | $ 413 | $ (1) | $ (16,369) | $ 1 |
Loans Held For Investment - Add
Loans Held For Investment - Additional Information (Details) - USD ($) $ in Thousands | Jun. 09, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | Aug. 07, 2020 |
Schedule Of Investments [Line Items] | ||||
Fair value of loans held for investment | $ 70,000 | $ 45,000 | ||
Purchase of loan | $ 25,000 | 45,000 | ||
Loan Rate | LIBOR plus 4.25 | |||
Loan maturity date | Dec. 31, 2021 | |||
Healthcare Facilities Mortgage Loan | ||||
Schedule Of Investments [Line Items] | ||||
Fair value of loans held for investment | $ 45,000 | |||
Repurchase Agreement Financing | ||||
Schedule Of Investments [Line Items] | ||||
Fair value of loans held for investment | $ 25,000 | |||
Purchase of loan | $ 25,000 | |||
Loan Rate | LIBOR plus 8.00% | |||
Loan maturity date | Aug. 7, 2020 | |||
Participation Agreement | ||||
Schedule Of Investments [Line Items] | ||||
Percentage of administrative fees | 1.00% | |||
Amendments to Repurchase Agreement | ||||
Schedule Of Investments [Line Items] | ||||
Loan Rate | LIBOR plus 5.75% | |||
Loan LIBOR floor rate | 0.50% | |||
Loan maturity date | May 5, 2021 | |||
Percentage of administrative fees | 0.75% | |||
Minimum | ||||
Schedule Of Investments [Line Items] | ||||
Loan LIBOR floor rate | 2.00% | |||
Minimum | Repurchase Agreement Financing | ||||
Schedule Of Investments [Line Items] | ||||
Loan LIBOR floor rate | 0.50% | |||
Investment Gain (Loss), Net | ||||
Schedule Of Investments [Line Items] | ||||
Fair value of loans held for investment | $ 70,000 | $ 45,000 |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | |||
Mortgage Loan Rate | LIBOR plus 4.25 | ||
Mortgage loan maturity date | Dec. 31, 2021 | Dec. 31, 2021 | |
Long-term unsecured debt | $ 73,115,000 | $ 73,115,000 | $ 74,328,000 |
Unamortized debt issuance costs | 788,000 | 788,000 | 972,000 |
Senior Notes Due 2023 | |||
Debt Instrument [Line Items] | |||
Principal balance of Senior Notes repurchased | 820,000 | 1,066,000 | |
Principal balance of Senior Notes repurchased purchase price | 782,000 | 1,012,000 | |
Senior Notes Due 2025 | |||
Debt Instrument [Line Items] | |||
Principal balance of Senior Notes repurchased | 153,000 | 331,000 | |
Principal balance of Senior Notes repurchased purchase price | $ 140,000 | $ 296,000 | |
Unsecured Debentures | |||
Debt Instrument [Line Items] | |||
Principal balance of Senior Notes repurchased purchase price | $ 0 | ||
Agency MBS | |||
Debt Instrument [Line Items] | |||
Mortgage Loan Rate | LIBOR plus 2.00% | ||
Mortgage loan maturity date | Aug. 14, 2021 | Aug. 14, 2021 | |
Agency MBS | One-Month LIBOR | |||
Debt Instrument [Line Items] | |||
Mortgage loan floor rate | 2.00% | 2.00% | |
Agency MBS | LIBOR Floor Interest Rate | |||
Debt Instrument [Line Items] | |||
Mortgage loan floor rate | 1.00% | 1.00% | |
Minimum | |||
Debt Instrument [Line Items] | |||
Mortgage loan floor rate | 2.00% | 2.00% | |
Minimum | Agency MBS | |||
Debt Instrument [Line Items] | |||
MBS repurchase agreement contract duration | 30 days | ||
Maximum | Agency MBS | |||
Debt Instrument [Line Items] | |||
MBS repurchase agreement contract duration | 60 days | ||
Mortgage loan maturity date extension option | 364 days |
Borrowings - Outstanding Repurc
Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 508,739 | $ 3,581,237 | |
Mortgage investments collateral, at fair value | 546,815 | 3,772,146 | |
Net amount | [1] | $ 38,076 | $ 190,909 |
Weighted-average rate | 0.38% | 2.11% | |
Weighted-average term to maturity (in days) | 32 days 19 hours | 23 days 14 hours | |
Agency MBS repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 477,239 | $ 3,560,139 | |
Mortgage investments collateral, at fair value | [2] | 501,815 | 3,741,399 |
Net amount | [1] | $ 24,576 | $ 181,260 |
Weighted-average rate | 0.21% | 2.10% | |
Weighted-average term to maturity (in days) | 14 days | 23 days 16 hours | |
Mortgage Credit Securities | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 21,098 | ||
Mortgage investments collateral, at fair value | [1] | 30,747 | |
Net amount | [1] | $ 9,649 | |
Weighted-average rate | 3.11% | ||
Weighted-average term to maturity (in days) | 8 days 2 hours | ||
Mortgage loans repurchase financing | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 31,500 | ||
Mortgage investments collateral, at fair value | 45,000 | ||
Net amount | [1] | $ 13,500 | |
Weighted-average rate | 3.00% | ||
Weighted-average term to maturity (in days) | 318 days | ||
[1] | Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. | ||
[2] | As of September 30, 2020 and December 31, 2019, includes $41,441 and $71,284, respectively, at sale price of unsettled agency MBS sale commitments which are included in the line item “sold securities receivable” in the accompanying consolidated balance sheets. |
Borrowings - Outstanding Repu_2
Borrowings - Outstanding Repurchase Agreement Borrowings (Parenthetical) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Repurchase Agreement Counterparty [Line Items] | ||
Sold securities receivable | $ 43,703 | $ 71,199 |
Pledged as Collateral for Repurchase Agreements | ||
Repurchase Agreement Counterparty [Line Items] | ||
Sold securities receivable | $ 41,441 | $ 71,284 |
Borrowings - Information Regard
Borrowings - Information Regarding Outstanding Repurchase Agreement Borrowings During the Period (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Debt Disclosure [Abstract] | ||||
Weighted-average outstanding balance | $ 412,071 | $ 3,609,519 | $ 1,378,097 | $ 3,672,844 |
Weighted-average rate | 0.45% | 2.46% | 1.55% | 2.59% |
Borrowings - Long-term Unsecure
Borrowings - Long-term Unsecured Debt Instruments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Senior Notes Due 2025 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 34,969 | $ 35,300 |
Annual Interest Rate | 6.75% | 6.75% |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 6.75% | 6.75% |
Maturity | Mar. 15, 2025 | Mar. 15, 2025 |
Senior Notes Due 2023 | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 23,934 | $ 25,000 |
Annual Interest Rate | 6.625% | 6.625% |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 6.625% | 6.625% |
Maturity | May 1, 2023 | May 1, 2023 |
Trust Preferred Debt | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 15,000 | $ 15,000 |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 3.03% | 4.74% |
Annual Interest Rate | LIBOR+ 2.25 - 3.00 % | LIBOR+ 2.25 - 3.00 % |
Trust Preferred Debt | Minimum | ||
Debt Instrument [Line Items] | ||
Maturity | 2033 | 2033 |
Trust Preferred Debt | Maximum | ||
Debt Instrument [Line Items] | ||
Maturity | 2035 | 2035 |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative Assets | $ 1,181 | $ 1,417 |
Derivative Liabilities | (852) | (8) |
Interest Rate Swap | ||
Derivative Assets | 118 | 1,417 |
Derivative Liabilities | 0 | (8) |
TBA Commitments | ||
Derivative Assets | 1,063 | 0 |
Derivative Liabilities | $ (852) | $ 0 |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - Interest Rate Swap - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Notional Amount | $ 50,000,000 | $ 2,985,000,000 | $ 50,000,000 | $ 3,000,000,000 | $ 2,600,000,000 | $ 3,100,000,000 |
Weighted-average: Fixed Pay Rate | 1.81% | |||||
Weighted-average: Variable Receive Rate | 1.92% | |||||
Weighted-average: Net Receive (Pay) Rate | 0.11% | |||||
Weighted-average: Remaining Life (in years) | 3 years 7 months 6 days | |||||
Fair Value, Asset and (Liability) | $ 1,409,000 | |||||
Less Than Ten Years Maturity | ||||||
Notional Amount | $ 50,000,000 | |||||
Weighted-average: Fixed Pay Rate | 0.64% | |||||
Weighted-average: Variable Receive Rate | 0.27% | |||||
Weighted-average: Net Receive (Pay) Rate | (0.37%) | |||||
Weighted-average: Remaining Life (in years) | 9 years 7 months 6 days | |||||
Fair Value, Asset and (Liability) | $ 118,000 | |||||
Less Than Three Years Maturity | ||||||
Notional Amount | $ 2,050,000,000 | |||||
Weighted-average: Fixed Pay Rate | 1.77% | |||||
Weighted-average: Variable Receive Rate | 1.92% | |||||
Weighted-average: Net Receive (Pay) Rate | 0.15% | |||||
Weighted-average: Remaining Life (in years) | 1 year 7 months 6 days | |||||
Fair Value, Asset and (Liability) | $ 83,000 | |||||
Three To Less Than Seven Years Maturity | ||||||
Notional Amount | $ 510,000,000 | |||||
Weighted-average: Fixed Pay Rate | 1.61% | |||||
Weighted-average: Variable Receive Rate | 1.92% | |||||
Weighted-average: Net Receive (Pay) Rate | 0.31% | |||||
Weighted-average: Remaining Life (in years) | 6 years | |||||
Fair Value, Asset and (Liability) | $ 439,000 | |||||
Seven to Less Than Ten Years Maturity | ||||||
Notional Amount | $ 400,000,000 | |||||
Weighted-average: Fixed Pay Rate | 2.24% | |||||
Weighted-average: Variable Receive Rate | 1.91% | |||||
Weighted-average: Net Receive (Pay) Rate | (0.33%) | |||||
Weighted-average: Remaining Life (in years) | 9 years 6 months | |||||
Fair Value, Asset and (Liability) | $ 715,000 | |||||
Ten or More Years Maturity | ||||||
Notional Amount | $ 25,000,000 | |||||
Weighted-average: Fixed Pay Rate | 2.96% | |||||
Weighted-average: Variable Receive Rate | 1.90% | |||||
Weighted-average: Net Receive (Pay) Rate | (1.06%) | |||||
Weighted-average: Remaining Life (in years) | 28 years 2 months 12 days | |||||
Fair Value, Asset and (Liability) | $ 172,000 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 0 | $ 0 |
Derivative Instruments - TBA Co
Derivative Instruments - TBA Commitments (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Fair Value, Asset | $ 1,181,000 | $ 1,417,000 |
Fair Value, Liability | (852,000) | (8,000) |
TBA Commitments | ||
Notional Amount: Purchase Commitment | 0 | |
Contractual Forward Price | (211,000) | |
Market Price | 0 | |
Fair Value, Asset | 1,063,000 | 0 |
Fair Value, Liability | (852,000) | $ 0 |
Fair Value | 211,000 | |
TBA Commitments | Two Percent Thirty Year Mortgage Backed Securities Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Purchase Commitment | 200,000,000 | |
Contractual Forward Price | 205,718,000 | |
Market Price | 206,781,000 | |
Fair Value, Asset | 1,063,000 | |
TBA Commitments | Two Percent Thirty Year Mortgage Backed Securities Purchase Sale Commitments Sale | ||
Notional Amount: Purchase Commitment | 200,000,000 | |
Contractual Forward Price | (205,929,000) | |
Market Price | (206,781,000) | |
Fair Value, Liability | $ (852,000) |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | ||
Interest rate derivative gains (losses), net | $ 276 | $ (28,330) | $ (106,790) | $ (170,902) | |
Other derivatives | 0 | 0 | (1,040) | 0 | |
Gain (loss) from derivative instruments, net | 487 | (25,353) | (102,510) | (149,630) | |
Interest Rate Swap | |||||
Interest rate derivative gains (losses), net | 276 | (25,634) | (103,719) | (154,557) | |
Interest Rate Swaps Net Interest (Expense) Income | |||||
Interest rate derivative gains (losses), net | [1] | (23) | 4,445 | 563 | 12,961 |
Interest Rate Swaps Unrealized Losses, Net | |||||
Interest rate derivative gains (losses), net | 299 | (18,087) | 14,611 | (100,337) | |
Interest Rate Swaps Losses Realized Upon Early Termination, Net | |||||
Interest rate derivative gains (losses), net | 0 | (11,992) | (118,893) | (67,181) | |
Options on U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains (losses), net | 0 | 0 | 0 | 76 | |
TBA Dollar Roll Income | |||||
Gains (losses) on commitments | [2] | 319 | 923 | 594 | 4,338 |
Other (Losses) Gains on TBA Commitments, Net | |||||
Gains (losses) on commitments | (108) | 2,054 | 4,726 | 16,934 | |
Gains (Losses) on TBA Commitments, Net | |||||
Gains (losses) on commitments | 211 | 2,977 | 5,320 | 21,272 | |
U.S. Treasury Note Futures, Net | |||||
Interest rate derivative gains (losses), net | $ 0 | $ (2,696) | $ (3,071) | $ (16,421) | |
[1] | Represents the periodic net interest settlement incurred during the period (often referred to as “net interest carry”). Also includes “price alignment interest” income earned or expense incurred on cumulative variation margin paid or received, respectively, associated with centrally cleared interest rate swap agreements. | ||||
[2] | Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase |
Derivative Instruments - Volume
Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest Rate Swap | ||||
Derivative [Line Items] | ||||
Beginning of Period | $ 50,000,000 | $ 2,600,000,000 | $ 2,985,000,000 | $ 3,100,000,000 |
Additions | 0 | 750,000,000 | 50,000,000 | 1,800,000,000 |
Scheduled Settlements | 0 | (250,000,000) | (100,000,000) | (250,000,000) |
Early Terminations | 0 | (100,000,000) | (2,885,000,000) | (1,650,000,000) |
End of Period | 50,000,000 | 3,000,000,000 | 50,000,000 | 3,000,000,000 |
2-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | 0 | 0 | |
Additions | 139,000,000 | 1,150,000,000 | 139,000,000 | |
Scheduled Settlements | (139,000,000) | 0 | (139,000,000) | |
Early Terminations | 0 | (1,150,000,000) | 0 | |
End of Period | 0 | 0 | 0 | 0 |
10-year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 155,000,000 | 0 | 320,000,000 | |
Additions | 0 | 765,000,000 | 826,600,000 | |
Scheduled Settlements | (155,000,000) | 0 | (885,000,000) | |
Early Terminations | 0 | (765,000,000) | (261,600,000) | |
End of Period | 0 | 0 | 0 | 0 |
TBA Purchase (sale) Commitments, Net | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | 550,000,000 | 0 | 0 |
Additions | 200,000,000 | 900,000,000 | 375,000,000 | 5,620,000,000 |
Scheduled Settlements | (200,000,000) | (1,350,000,000) | (375,000,000) | (5,520,000,000) |
Early Terminations | 0 | 0 | 0 | 0 |
End of Period | 0 | 100,000,000 | 0 | 100,000,000 |
Sold Call Options on Ten Year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | |||
Additions | 250,000,000 | |||
Scheduled Settlements | (250,000,000) | |||
Early Terminations | 0 | |||
End of Period | 0 | 0 | ||
Purchased Call Options on Ten Year U.S. Treasury Note Futures | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | |||
Additions | 500,000,000 | |||
Scheduled Settlements | (500,000,000) | |||
Early Terminations | 0 | |||
End of Period | $ 0 | $ 0 | ||
Put Options on S&P 500 ETF | ||||
Derivative [Line Items] | ||||
Beginning of Period | 0 | |||
Additions | 1,850,000 | |||
Scheduled Settlements | (1,850,000) | |||
Early Terminations | 0 | |||
End of Period | $ 0 | $ 0 |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted in Respect of Derivative and Other Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Cash collateral posted, net | $ 2,252 | $ 37,123 |
Interest Rate Swap | ||
Cash collateral posted, net | 2,252 | 37,122 |
Unsettled MBS Trades and TBA Commitments, Net | ||
Cash collateral posted, net | $ 0 | $ 1 |
Consolidation of Variable Int_3
Consolidation of Variable Interest Entities - Additional Information (Details) - Variable Interest Entity, Primary Beneficiary $ in Thousands | 9 Months Ended |
Sep. 30, 2020USD ($) | |
Variable Interest Entity [Line Items] | |
Payments to acquire investments | $ 10,693 |
Pool of mortgage loans, unpaid principal balance | 127,231 |
Outstanding Principal | $ 122,368 |
Mortgage loan, weighted average net note rate | 6.03% |
Debt obligations, weighted average coupon rate | 4.01% |
Unamortized discount on mortgage loans | $ 2,886 |
Unfunded Construction Draw Balance Commitment | |
Variable Interest Entity [Line Items] | |
Subordinated debt security investment | $ 14,258 |
Consolidation of Variable Int_4
Consolidation of Variable Interest Entities - Schedule of Trust's Assets and Liabilities Owed to Third Parties (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Loans, at fair value | $ 70,000 | $ 45,000 | |
Other liabilities of consolidated VIE | (820) | $ (507) | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Restricted cash of consolidated VIE | [1] | 8,658 | |
Loans, at fair value | 124,345 | ||
Debt of consolidated VIE, at fair value | (121,894) | ||
Other liabilities of consolidated VIE | (416) | ||
Investment in consolidated VIE | $ 10,693 | ||
[1] | Restricted cash represents cash collected by the trust that can be used solely to satisfy the liabilities of the VIE in the month following collection. |
Offsetting of Financial Asset_3
Offsetting of Financial Assets and Liabilities - Derivative Instruments and Short-term Borrowing Arrangements, including those Subject to Master Netting or Similar Arrangements (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 1,181 | $ 1,417 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 1,181 | 1,417 | |
Derivative Asset, Financial Instruments | [1] | (852) | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 329 | 1,417 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 852 | 8 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 852 | 8 | |
Derivative Liabilities, Financial Instruments | [1] | (852) | (8) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 509,591 | 3,581,245 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 509,591 | 3,581,245 | |
Derivative Liabilities, Financial Instruments | [1] | (509,591) | (3,581,245) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Derivative Financial Instruments, Assets | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 1,181 | 1,417 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 1,181 | 1,417 | |
Derivative Asset, Financial Instruments | [1] | (852) | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 329 | 1,417 | |
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 508,739 | 3,581,237 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 508,739 | 3,581,237 | |
Derivative Liabilities, Financial Instruments | [1] | (508,739) | (3,581,237) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Interest Rate Swap | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 118 | 1,417 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 118 | 1,417 | |
Derivative Asset, Financial Instruments | [1] | 0 | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 118 | 1,417 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 8 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 0 | 8 | |
Derivative Liabilities, Financial Instruments | [1] | (8) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 1,063 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 1,063 | 0 | |
Derivative Asset, Financial Instruments | [1] | (852) | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 211 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 852 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 852 | $ 0 | |
Derivative Liabilities, Financial Instruments | [1] | (852) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | $ 0 | ||
[1] | Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. | ||
[2] | Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements - Summa
Fair Value Measurements - Summary of Significant Inputs to Fair Value Measurement of Non-agency MBS Secured by Residential Mortgage Loans (Details) - Mortgage Credit Securities - Fair Value, Inputs, Level 3 | Sep. 30, 2020 |
Annualized Default Rate | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Significant inputs to fair value measurement | 0.120 |
Loss-Given-Default | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Significant inputs to fair value measurement | 0.400 |
Discount Rate | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | |
Significant inputs to fair value measurement | 0.101 |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020USD ($) | Dec. 31, 2019USD ($) | |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Long-term unsecured debt, carrying value | $ 73,115 | $ 74,328 |
Long-term unsecured debt, Fair Value | 68,699 | 70,429 |
Equity Securities of Publicly Traded Companies | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Investments in equity securities and investment funds measured at fair value | 12,950 | 0 |
Private Equity Funds | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Investments in equity securities and investment funds measured at fair value | $ 6,898 | $ 6,375 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Stock Price to Net Asset Multiple | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.95 | 0.95 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Discount Factor for Lack of Marketability and Control | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.10 | 0.09 |
Fair Value, Inputs, Level 3 | Private Equity Funds | Cost of Equity Discount Rate | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Fair value discount rate | 0.15 | 0.12 |
Fair Value, Inputs, Level 3 | Commercial Mortgage Loan Investment | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items] | ||
Estimated weighted average rate of default | 0.00% | |
Estimated remaining life period | 1 year | |
Fair value discount rate | 0.060 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Financial assets: | ||
Loans, at fair value | $ 70,000 | $ 45,000 |
Derivative assets, at fair value | 1,181 | 1,417 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 852 | 8 |
Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 124,345 | |
Financial liabilities: | ||
Debt of consolidated VIE, at fair value | 121,894 | |
Fair Value, Recurring | ||
Financial assets: | ||
Loans, at fair value | 70,000 | 45,000 |
Derivative assets, at fair value | 1,181 | 1,417 |
Other assets | 19,848 | 6,375 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 852 | 8 |
Fair Value, Recurring | Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 124,345 | |
Financial liabilities: | ||
Debt of consolidated VIE, at fair value | 121,894 | |
Fair Value, Recurring | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
Derivative assets, at fair value | 0 | 0 |
Other assets | 12,950 | 0 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Recurring | Fair Value, Inputs, Level 1 | Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 0 | |
Financial liabilities: | ||
Debt of consolidated VIE, at fair value | 0 | |
Fair Value, Recurring | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Loans, at fair value | 0 | 0 |
Derivative assets, at fair value | 1,181 | 1,417 |
Other assets | 0 | 0 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 852 | 8 |
Fair Value, Recurring | Fair Value, Inputs, Level 2 | Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 0 | |
Financial liabilities: | ||
Debt of consolidated VIE, at fair value | 121,335 | |
Fair Value, Recurring | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Loans, at fair value | 70,000 | 45,000 |
Derivative assets, at fair value | 0 | 0 |
Other assets | 6,898 | 6,375 |
Financial liabilities: | ||
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Recurring | Fair Value, Inputs, Level 3 | Variable Interest Entity, Primary Beneficiary | ||
Financial assets: | ||
Loans, at fair value | 124,345 | |
Financial liabilities: | ||
Debt of consolidated VIE, at fair value | 559 | |
Fair Value, Recurring | Mortgage Credit Securities | ||
Financial assets: | ||
Trading securities | 46,352 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 36,504 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | 9,848 | |
Fair Value, Recurring | Agency MBS | ||
Financial assets: | ||
Trading securities | 617,170 | 3,768,496 |
Fair Value, Recurring | Agency MBS | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | 0 |
Fair Value, Recurring | Agency MBS | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 617,170 | 3,768,496 |
Fair Value, Recurring | Agency MBS | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | $ 0 | 0 |
Fair Value, Recurring | Mortgage Credit Securities | ||
Financial assets: | ||
Trading securities | 33,501 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 1 | ||
Financial assets: | ||
Trading securities | 0 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 2 | ||
Financial assets: | ||
Trading securities | 33,478 | |
Fair Value, Recurring | Mortgage Credit Securities | Fair Value, Inputs, Level 3 | ||
Financial assets: | ||
Trading securities | $ 23 |
Fair Value Measurements - Chang
Fair Value Measurements - Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | ||||
Beginning balance | $ 86,701 | $ 6,052 | $ 51,398 | $ 6,139 |
Included in investment gain (loss), net | (21) | 231 | (1,649) | 224 |
Additions from consolidation of VIE | 124,345 | 124,345 | ||
Purchases | 36,995 | |||
Payments, net | (180) | (23) | (705) | (118) |
Interest income recognized | 246 | 4 | 707 | 19 |
Ending balance | 211,091 | 6,264 | 211,091 | 6,264 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | (21) | $ 231 | (1,649) | $ 239 |
Additions from consolidation of VIE | 559 | 559 | ||
Ending balance | $ 559 | $ 559 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ in Thousands | Aug. 21, 2019 | May 29, 2018 | Sep. 30, 2020 | Sep. 30, 2020 | Dec. 31, 2019 |
Income Tax Disclosure [Line Items] | |||||
Intended annual distribution of taxable income | 100.00% | ||||
Required annual distribution of taxable income | 90.00% | ||||
Estimated net operating loss carryforwards | $ 14,588 | $ 14,588 | |||
Net operating loss carryforwards, expiration year | 2028 | ||||
Capital loss carryforwards expiration remainder of fiscal year | 59,835 | $ 59,835 | |||
Capital loss carryforwards expiration in year 2021 | 70,319 | 70,319 | |||
Capital loss carryforwards expiration in year 2022 | 3,763 | 3,763 | |||
Capital loss carryforwards expiration in year 2023 | 110,323 | 110,323 | |||
Deferred net losses from interest rate hedges | 161,386 | $ 161,386 | |||
Excess AMT credit carryforwards refundable rate | 50.00% | ||||
AMT credit carryforward | 0 | $ 0 | $ 4,566 | ||
Remaining excess ATM credit refund received | 4,566 | ||||
Income tax examination, description | BPOL tax for the 2017 year remains subject to examination by Arlington County, although the county has previously informally indicated that it did not intend to pursue assessments for that year at such time. | ||||
Tax Year 2018 | Arlington County, Virginia | |||||
Income Tax Disclosure [Line Items] | |||||
Tax assessment received for business, professional and occupation license tax | $ 488 | $ 9,380 | |||
Tax Year 2019 | Fairfax County [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Tax assessment received for business, professional and occupation license tax | 54 | ||||
Tax Year 2019 | Arlington County, Virginia | |||||
Income Tax Disclosure [Line Items] | |||||
Revised tax assessment received for business, professional and occupation license tax | $ 471 | ||||
Partial refund received for business, professional and occupation license tax | 118 | ||||
Tax Year 2018 and 2019 | Arlington County, Virginia | Other General and Administrative Expense | |||||
Income Tax Disclosure [Line Items] | |||||
BPOL tax expense | $ 892 | ||||
Tax Year 2017 | Arlington County, Virginia | |||||
Income Tax Disclosure [Line Items] | |||||
Income tax remain subject to examination year | 2017 | ||||
Capital Loss Carryforward | |||||
Income Tax Disclosure [Line Items] | |||||
Tax Credit Carryforward, Amount | $ 244,240 | $ 244,240 |
Earnings (Loss) Per Share - Com
Earnings (Loss) Per Share - Computations of Basic and Diluted Earnings (Loss) Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Earnings Per Share [Abstract] | ||||
Basic weighted-average common shares outstanding | 34,655 | 36,572 | 35,990 | 35,399 |
Performance share units, unvested restricted stock units, and unvested restricted stock | 42 | |||
Diluted weighted-average common shares outstanding | 34,697 | 36,572 | 35,990 | 35,399 |
Net income (loss) available (attributable) to common stock | $ 4,033 | $ (8,511) | $ (81,435) | $ (15,494) |
Basic earnings (loss) per common share | $ 0.12 | $ (0.23) | $ (2.26) | $ (0.44) |
Diluted earnings (loss) per common share | $ 0.12 | $ (0.23) | $ (2.26) | $ (0.44) |
Earnings (Loss) Per Share - Add
Earnings (Loss) Per Share - Additional Information (Details) - shares | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Restricted Stock, Restricted Stock Units and Performance Shares | |||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 179,464 | 65,208 | 125,403 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | Mar. 12, 2019USD ($)$ / sharesshares | Feb. 22, 2019USD ($)$ / sharesshares | Jun. 01, 2009 | Sep. 30, 2020USD ($)$ / sharesshares | Jun. 30, 2020USD ($)shares | Dec. 31, 2019$ / sharesshares | Sep. 30, 2019$ / shares | Jun. 30, 2019$ / sharesshares | Mar. 31, 2019$ / sharesshares | Sep. 30, 2020USD ($)$ / sharesshares | Dec. 31, 2019$ / sharesshares | Jul. 31, 2020shares | Mar. 21, 2019shares | Aug. 10, 2018shares | May 16, 2017shares | Oct. 26, 2015shares |
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Dividend Amount (in dollars per share) | $ / shares | $ 0.225 | $ 0.225 | $ 0.225 | $ 0.375 | ||||||||||||
Declaration Date | Dec. 13, 2019 | Sep. 17, 2019 | Jun. 24, 2019 | Mar. 18, 2019 | ||||||||||||
Pay Date | Feb. 3, 2020 | Oct. 31, 2019 | Jul. 31, 2019 | Apr. 30, 2019 | ||||||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 18,000,000 | |||||||||||||||
Stock repurchase program shares previously available to be repurchased | 56,090 | |||||||||||||||
Shareholder Rights Plan | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Rights plan, amended term of agreement | 3 years | |||||||||||||||
Common Stock | Common Equity Distribution Agreements | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 0 | 0 | 0 | |||||||||||||
Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Repurchase of stock | $ | $ 803 | $ 800 | ||||||||||||||
Common Class A | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 | 450,000,000 | 450,000,000 | ||||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Common Stock Voting Rights Per Share Owned | 1 | 1 | ||||||||||||||
Common stock, shares outstanding (in shares) | 33,731,170 | 36,755,387 | 33,731,170 | 36,755,387 | ||||||||||||
Stock repurchase program shares previously available to be repurchased | 16,746,801 | 16,746,801 | ||||||||||||||
Repurchase of stock (in shares) | 2,079,074 | 3,148,414 | 0 | |||||||||||||
Repurchase of stock | $ | $ 5,864 | $ 3,047 | $ 8,911 | |||||||||||||
Common Class A | Maximum | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 2,000,000 | |||||||||||||||
Common Class A | Minimum | Shareholder Rights Plan | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Percentage of beneficial ownership of common stock | 4.90% | |||||||||||||||
Common Class A | Common Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 6,000,000 | 6,000,000 | ||||||||||||||
Public Offering Price Per Share | $ / shares | $ 8.16 | |||||||||||||||
Net proceeds underwriting discounts and commissions and expenses | $ | $ 48,827 | |||||||||||||||
Repurchase of stock (in shares) | 2,079,074 | 1,069,340 | ||||||||||||||
Repurchase of stock | $ | $ 21 | $ 11 | ||||||||||||||
Common Class A | Common Stock | Common Equity Distribution Agreements | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Number of shares offer and sell | 11,302,160 | 11,302,160 | ||||||||||||||
Common Class A | Common Stock | Maximum | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Number of shares offer and sell | 12,597,423 | |||||||||||||||
Common Class B | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | ||||||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||||||||
Common Stock Voting Rights Per Share Owned | 3 | 3 | ||||||||||||||
Common stock, shares outstanding (in shares) | 0 | 0 | 0 | 0 | ||||||||||||
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Preferred stock, shares authorized (in shares) | 2,000,000 | 2,000,000 | ||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||||||||
Series C Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Public Offering Price Per Share | $ / shares | $ 25 | |||||||||||||||
Net proceeds underwriting discounts and commissions and expenses | $ | $ 28,944 | |||||||||||||||
Preferred stock, shares authorized (in shares) | 2,500,000 | 2,500,000 | ||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Preferred stock, dividend rate percentage | 8.25% | |||||||||||||||
Preferred stock voting rights per share owned | 0 | 0 | ||||||||||||||
Preferred stock, liquidation preference per share | $ / shares | $ 25 | $ 25 | ||||||||||||||
Preferred stock, redeemable price per share | $ / shares | 25 | $ 25 | ||||||||||||||
Preferred stock, dividend payment terms | Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. | |||||||||||||||
Preferred stock, annual dividend rate per share | $ / shares | $ 2.0625 | $ 2.0625 | ||||||||||||||
Preferred stock, rate conversion date | Mar. 30, 2024 | |||||||||||||||
Series C Preferred Stock | LIBOR | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Preferred stock, variable dividend spread rate | 5.664% | |||||||||||||||
Series C Preferred Stock | Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 1,200,000 | 1,200,000 | ||||||||||||||
Repurchase of stock (in shares) | 35,252 | 33,100 | 68,352 | |||||||||||||
Repurchase of stock | $ | $ 677 | $ 627 | $ 1,304 | |||||||||||||
Undesignated Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Preferred stock, shares authorized (in shares) | 20,400,000 | 20,400,000 | ||||||||||||||
Series A Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Preferred stock, shares authorized (in shares) | 100,000 | 100,000 | ||||||||||||||
Preferred stock shares unissued | 100,000 | 100,000 | ||||||||||||||
Series B Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Preferred stock, dividend rate percentage | 7.00% | |||||||||||||||
Preferred stock voting rights per share owned | 0 | 0 | ||||||||||||||
Preferred stock, liquidation preference per share | $ / shares | $ 25 | $ 25 | ||||||||||||||
Preferred stock, redeemable price per share | $ / shares | 25 | $ 25 | ||||||||||||||
Preferred stock, redemption date | May 12, 2022 | |||||||||||||||
Preferred stock, dividend payment terms | Dividends are payable quarterly in arrears on the 30th day of March, June, September and December of each year, when and as declared. | |||||||||||||||
Preferred stock, annual dividend rate per share | $ / shares | $ 1.75 | $ 1.75 | ||||||||||||||
Series B Preferred Stock | Preferred Stock | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 1,409 | 2,035 | ||||||||||||||
Repurchase of stock (in shares) | 7,566 | 10,200 | 17,766 | |||||||||||||
Repurchase of stock | $ | $ 126 | $ 173 | $ 299 | |||||||||||||
Series B Preferred Stock | Preferred Stock | Series B Preferred Equity Distribution Agreement | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Issuance of stock (in shares) | 0 | 0 | 3,444 | |||||||||||||
Number of Shares Offer and Sell | 1,645,961 | 1,645,961 | ||||||||||||||
Series B Preferred Stock | Preferred Stock | Maximum | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Number of Shares Offer and Sell | 1,865,000 | |||||||||||||||
Series B Preferred Stock | Preferred Stock | Maximum | Series B Preferred Equity Distribution Agreement | ||||||||||||||||
Share based Compensation Arrangement by Share based Payment Award [Line Items] | ||||||||||||||||
Number of Shares Offer and Sell | 1,647,370 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividends Declared and Paid (Details) - $ / shares | 3 Months Ended | |||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | |
Equity [Abstract] | ||||
Dividend Amount (in dollars per share) | $ 0.225 | $ 0.225 | $ 0.225 | $ 0.375 |
Declaration Date | Dec. 13, 2019 | Sep. 17, 2019 | Jun. 24, 2019 | Mar. 18, 2019 |
Record Date | Dec. 31, 2019 | Sep. 30, 2019 | Jul. 5, 2019 | Mar. 29, 2019 |
Pay Date | Feb. 3, 2020 | Oct. 31, 2019 | Jul. 31, 2019 | Apr. 30, 2019 |
Stockholders' Equity - Issuance
Stockholders' Equity - Issuances of Preferred Stock under Equity Distribution Agreements (Details) - Series B Preferred Stock - Preferred Stock - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2020 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Dec. 31, 2019 | ||
Class Of Stock [Line Items] | ||||||
Shares issued | 1,409 | 2,035 | ||||
Series B Preferred Equity Distribution Agreement | ||||||
Class Of Stock [Line Items] | ||||||
Shares issued | 0 | 0 | 3,444 | |||
Weighted average public offering price | $ 22.39 | |||||
Net proceeds | [1] | $ 76 | ||||
[1] |